Everything you need to know to use these products effectively
Shredded Cardboard/Paper
This is the cheapest solution as cardboard is typically free. I recommend using cardboard without wax coatings that might take longer to breakdown. Corrugated cardboard is the best as the gap between the layers is a great place for worms to climb into and hide or lay cocoons. I shred all my cardboard in a paper shredder as it makes it much easier. Issue with cardboard is I find the castings can be a bit muddy compared to some other materials.
Coco Coir (Coconut Husk)
Coco Coir is a great bedding material that is fairly inexpensive and good at holding water. It also changes color so it is easy to tell when water is needed. Only issue is some have high salt content which can hurt your worms. To mitigate you can wash the Coco Coir or look for those that have low salt content like the one linked.
Hardwood Pellets (Sawdust)
Pellets can be purchased in large bags and when water is added they can expand quite a bit and due to the shape they allow good air movement in the system. Due to the wood being a bit tougher it can take longer for these to breakdown in a system. You also need to be careful in purchasing pellets make sure they do not have binding agents that could cause problems when used in your garden.
I have used pine wood shavings in the past and found that these last a long time and the worms can do really well in them. They can dry out faster than other materials as they let a lot of air flow due to their hard fibrous nature. If you are looking to grow out your worms and are not interested in castings this might be the bedding for you. With he shavings lasting a long time you can keep adding more food and they stay large enough to filter out from the castings and add back in with the worms. This will give you minimal castings as the main source are food inputs instead of bedding.