i used to use crushed walnut shells for substrate with desert species and had no problems. however, if you're housing a species that needs moisture or will want to burrow, you should stick to peat.
it's very cheap (under $10 for a huge, compacted bag at Lowes or Home Depot), and will hold moisture if sprayed occasionally. i have also dried it out for my desert species, and they love it. it gives them plenty of opportunity to burrow, is very light weight.