We use shavings, on top of rubber mats, on top of plywood floors. Works for us! I find the shavings are easy to sift and not as dusty as sawdust. And I use Sweet PDZ or Stall Dry every month or so, mostly just in the summer, to really keep the ammonia odor down.
Maplegum, your horse really sleeps on blankets? Truly?! That's so cool. My gelding would, of course, immediately pee and poop on a blanket. The mare might appreciate a blanket, though - or she might give me that "what are you up to?" look... So, if I was going to buy doggie boots for my horses, I'm guessing you at least might not laugh at me? (My neighbors are always commenting on how they "never put blankets on their horses in the winter, etc." so I can only imagine what they'd say if I put boots on mine...)