I use a combination of different stuff.
In their bed, I use hay in winter, unless it's a particularly dusty batch, then I'll use shredded paper. In summer, they have woodshavings throughout- never had any problems with this.
I've never used straw, as I was told many years ago when I first started keeping ferrets that it holds mites etc. To this day, I don't know if there's any truth in it, but it's one of those things that I've just kept in mind, as it was pretty much my first piece of ferreting advice.