Either are fine, I prefer pine shavings.
Actually, my favorite bedding is the pelleted bedding (Pine Stall, Stable Blend, or other brand names) UNDER the pine shavings. The pellets are great to soak up the urine and last longer than the pine shavings, but the pine shavings aren't as dusty and seem a lot more comfy than the pelleted bedding (I don't pre-moisten the pellets before use).
I don't prefer straw because it seems kind of pokey (I would personally rather lay on shavings than straw) and it is difficult to clean.
Oh! And for foaling out mares, a nice soft hay like Bermuda or Orchard is great over the pelleted pine bedding...
Andrea