I don't really like either, although I am willing to give fleece another try at some point. I just found it got too damp, too quickly but it might not be as bad with puppy pads underneath.
I have used woodshavings for a long time, not anymore though. I find they can sometimes be a bit dusty, and I don't really like having it indoors particularly as the girls +boy are in my room at present.
I am currently using Ecozorb a locally made recylcled cardboard bed like Finacard or Walmsley premierbed (I have used both, but this is cheaper (£6.50 a 20kg bale) with puppy pads and newspaper underneath. I find it stays dry and pretty much smell free(kind of) for about a week, I like the fact it doesn't stick to fleece coseys like shavings, and I can pile the hay in without worrying about it sticking to fleece- my little boy loves hiding in his hay. It is also fairly comfortable to walk on.