I know this is an old thread now, but I can't restrain myself from adding my opinion (sorry in advance).
I reckon that wood-shavings are the best for blueys. The danger of impaction has already been noted by lots of people, so I won't go into that. Wood shavings allow your bluey to engage in burrowing, one of its favourite past-times in the wild and will also soak up urine. You can spot clean the poos right out by grabbing them, and the few surrounding chips around them out of the tank when you find them. Also, I have noticed that Franklet is a lot more active around his house when he's got lots of wood shavings to go burrowing in.
If you do choose to use wood shavings, it is recommended to use ASPEN shavings rather than pine shavings, as pine shavings contain phenols which may harm your lizard. Aspen shavings are quite expensive but do last a long time, because you buy them in bales that have been compressed. I've been using the same bale for about 6 months and there's still a little bit left of it, so it's not as expensive as it might seem at first.
-nicola
BTW - I think it's awesome that you've decided to get a bluey. I adore my Franklet to pieces, and you'll balance out the beardie to bluey owning ratios a (very) little bit on this forum