This is of course my opinion and everyone will have different things to say. You can tell which one I prefer.
Pros of fleece
1. Less expensive in the long run as you don't have to keep replacing it.
2. Softer for piggies to lie on.
3. Comes in lots of pretty patterns and colors.
4. Easier to pick up and lay down than shavings.
5. Little bits of it don't get all over your floor.
6. You can use the leftover pieces to make all sorts of things for your piggies.
7. Easy to sweep/pick up the poos since they are very obvious on fleece.
8. You don't have to worry if it's kiln-dried versus air dried or whether it smells too strongly for the pigs.
Pros of shavings
1. Easier if you don't have your own washer/dryer.