I've used carefresh (recycled paper fibers) and aspen for my skink Chloe. These are agreed to be the best over at bluetonguesinks.net
Be sure to check out their caresheet:
http://www.bluetongueskinks.net/care.htmand forums:
http://bluetongueskinks.net/forum/Chloe really didn't burrow much and seems stressed in these substrates. I noticed when handling her and having her out of her enclosure that she really loved to get into sheets and other fabrics, she would burrow into them.
In lieu of a traditional substrate I use old high thread count sheets and towels that do not have looped ends so her claws don't get stuck. She really seems to enjoy these and they are easy to clean up. In fact when it's cleaning time I'll just clean up most of the mess with the towel or sheet, take it outside and shake it out then hand wash the bits out before throwing it into the clothes washer.