I use megazorb but I know lots of people use the wood pellets. It's the phenol in them (and sawdust) that smells nice and 'piney' but phenol is supposedly bad for a rabbit's liver, as it's toxic and the liver processes all toxins. Rabbits have very delicate livers and bouts of gut stasis, anaesthetics, slightly poisonous plants etc all damage their liver to an extent, so the argument against wood based products is based on this idea of minimising stress on their liver, as stress accumulates over time.
Megazorb is also dusty if that's your allergy - you might like ecopetbed, which is shredded cardboard.