In my opinion straw is the best. Easy to spread by hand, absorbs moisture well, provides excellent insulation properties for livestock, and breaks down well in a manure pile so that it goes through a manure spreader well. I would say that oat and winter wheat straw are the best followed by spring wheat and barley. Some people use corn stover bales as bedding. We bale cattails and rushes when its dry enough and use those for bedding in the feedlot pens and out in pastures during calving if needed. Have used poor hay in the past also in feedlot pens. Its amazing how much of those cattails and poor grass those calves will pick up and eat. If you try and use cattails for bedding you'll really want to run them through a bale processer. Mainly because they'd be about impossible to spread by hand and because it chops them up a bit which makes cleaning the pen in the spring a lot easier.
I'm sure you could use almost any crop residue as bedding.