i like to use coco coir. i ue it a LOT around here, adn it is a great soil additive if you ahve hard soils. price varies a lot. its cheap here and wonderful stuff so i buy a lot.
IMHO peat moss is highly over rated. It adds about zilch in the way of nutrients. It's only value is to lighten the soil and any other organic matter will do that just as well. The price of it just keeps going up and the quality is going down as it gets scarcer.Some of the best amendments are those you get free such as leaves and lawn trimmings.
If your soil is heavy in clay the best thing you can add is compost.
I wouldn't recommend adding Straw or Hay to a garden save it and add it to the compost pile. I added some old straw to my garden one time and had one heck of a mess with the weeds, the straw not wanting to break down and wrapping in the tines of the tiller.