Our hamster, Pancake, loves wool. I started giving her little bits of wool (short enough it cannot be a choking hazard) because one of the hamster books at the library said they like to nest with wool. I imagine it is a rather scarce resource in nature...
I keep little wool clippings from my knitting and put them in after we clean her cage each week. The rest of the bedding (the blue stuff) is paper-based commercial hamster bedding. She seems to love the wool!
You have to love a pet who loves wool!