While it may not seem like a big deal what your horse lays on, in actuality a very important decision. Here are just a few of the different things that your horse should or shouldn’t lay on in his stable according to Katherine Blocksdorf of About.com:

Straw
If you are trying to keep your horse on a diet, straw probably isn’t recommended because a lot of horses will eat it. Blocksdorf mostly suggests straw for mares and young foals. It should only take a few bales to cover an average size stall but before you put it in make sure it’s dust and mold-free.

Hay
You probably shouldn’t use hay as bedding. It is more expensive than straw and when it spoils, the mold can be very bad for the horses if they eat it. It also emits a foul odor after a short time when it is wetted from your horse.

Shavings/Sawdust
One of the more popular options is wood shavings. Before you finalize what you are getting, be sure to know what type of wood that it is. Generally softwoods work the best. Also, if your horse doesn’t have respiratory problems, you may consider using sawdust.

Wood pellets
Basically dried out shavings, wood pellets can also be effective in horse stalls. One of their most redeeming factors is the ease of clean-up of manure. They look bumpy to lie on but according to Blocksdorf, you can spray them down with water making it more comfortable.

Paper
While this may be heavy to pick up during when you’re cleaning up, shredded paper can be a good choice if your horse likes to eat its bedding. Make sure that if the paper has ink that it won’t harm your horse in any way.
 
Source: About.com