Straw, leaves, pine needles ... all sorts of organic matter can be used as mulch. Hay isn't a great choice, though, because it has seeds in it that tend to sprout. I've even used cardboard and newspaper under other things (a layer of straw) to mulch out heavy weeds and even grass to prepare an area for planting or for mulching areas between beds/rows. Then the cardboard and newspaper rot away. The worms LOVE mulch.