Hi Claire,
They need both really, unless they are indoor house rabbits, or long-haired.
Hay is for eating, and straw is for warm winter bedding. If you have room to store it, find a bale of barley straw, which is softer than wheat straw, and contains a lot of soft leafy stalks that they will eat, adding fibre & nutrition to the diet.
You can also use hay for winter bedding but it tends to get eaten up!