Try to buy local products if possible.
With any mulch you are attempting to block light from reaching the soil and to retain soil moisture so any covering will work. You should try for local products to reduce the amounts of waste products that is used to get that mulch to you. For instance I'm seeing mulch at the HD that is coming out of Canada. Think of the amounts of gasoline used in getting that mulch down to New Orleans. If possible recycle what is in the neighberhood; grass trimmings, fallin' leaf litter and so on. You may have a local recycling project making mulch so ask around where ya live.
Mike

Whatever is locally available and is free. In my case that's the mixed pinestraw and oak leaves I rake up off the property.

Second would be whatever is locally available that is locally produced from something sustainable. Here in Florida that would be things like pine bark, the fairly new malaleuca mulch, or purchased pinestraw. Personally, I don't like buying pinestraw but it's not nearly as bad as grinding up entire cypress trees for mulch.

Mulch materials shipped long distances don't make good sense to me unless it's something that's a byproduct of another industry that is in the local area.

.....Alan.

Lily if any horse barns near you they usually have extra used mulch in the form of shavings. Some use straw,but those with used shavings make a great mulch and it is free usually for just taking it.

If you dont mind paying for it, think cypress is pretty nice and keeps the termites down.

I use cedar shaving from the barn for a free mulch.

Call tree service companies and see if they will give you chips for free. Around here, they will let you pick up chips for free or deliver huge truckloads for free. Don't pay for a bunch of wood chips if you don't need to!

Woodchips are great for perennials, shrubs, and trees. I'd use compost instead around annuals and vegetables. Don't push the mulch all the way up to the trunk of a shrub or tree. Leave a little gap around the wood. Mulch covering the wood will promote rot.