I have used several different things in litter trays. First I used carefresh (now available in the UK in 50l bags (thanks magicroundabout)):
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This worked pretty well - though did need regular changing (I used 2 or 3 one-grid-width square basins as littertrays), and the carefresh did get walked over the cage. I used a brick infront of the entrance to the littertray to try and prevent this. Newspaper underneath absorbed more pee, and made cleaning out easier.
I have used shredded paper (which i get free by the sackload from work (I work in a xchool)), which is perhaps not as absorbant, but does the job, and is easy to clean out. It can get trailed around a wee bit too.
The litter trays were proving a bit tiresome and tricky for me to constantly clean out (they were in far corners, and ackward to reach areas!), so I made a 2 x 3 loft area of the cage into a bedded hay area, in which i use Megazorb. It is intended for horses - and is very absorbant. It is in smaller pieces than carefresh, and does have an odour - not unpleasant - but unusual. It is purchased by the sack, and is very economical, I can order it from a local equine supplier for £5.20 a sack, thus using over such a large area. The 2 x 3 is now in effect, one bit litter tray! The girls do spend a fair bit of time there (I have 2 hay stacks there), and do most of their dos in there. I have started putting the shredded paper on top - which i replace daily. This has proven the best solution for our situation.
If all else failed, at a push, you could tear small strips of newspaper, and use that in your litter trays.
Good grief - I didn't mean to go on quite so long!