I get the thing going with newspaper and dried grass from the yard then top off with pine shavings, like what I use in my horse barn and chicken coops. A big bag is $4.49 at my local Tractor Supply or feedstore. A gallon ziplock bag full of shavings stays in my bee tool box for adding while in the apiary, if what I loaded with seems to run out before I'm done.
I also tried pine needles, but I don't have a ready supply of pine needles (I don't have pine trees) and I also thought they burned up too quickly and stunk.
One day, I scooped up some dried used horse bedding, with hay and stuff, out of the edge of the compost heap (it's barn leavings, 'nuff said, right?) and added that. It smoked for.ever, so I use that when I know I'll be digging around in the hives for a while. Didn't smell entirely great but not as bad as I'd feared.