My experience is that straw was more absorbant than the pine pellets, but I used straw as cut from the field and not processed into pellets. If you need to purchase the bedding it more than likely will come to which is the least expensive material to use.
Bales of straw around here lately range in price from $4.49 to $4.98 while a much smaller plastic wrapped bundle of something labeled E Z Straw is selling for $8.98.

I've tried using hay pellets (alfalfa and bermuda) as kitty litter, and it turned into a sawdust-like ground-up grass.

Makes GREAT compost!