straw in the run ???

as straw is hollow it can harbour mould and fungus on the inside.

I find that is also blows all over the place 

I do use straw. I lay it over frozen ground and snow.  Also use it to bind the mud in the run when the thaw comes along!! If you don't have it too deep the hens will break it up fairly quickly, but I rake it off and compost it at intervals. Also when you put it down fresh they go bananas raking through for all the seeds, and I scatter their afternoon corn on it so they have to work for their treats.

You can use straw (NOT HAY) but it has several problems which mean it needs changing regularly.  It certainly smells and becomes insanitary when wet, it encourages moulds which can be toxic and spoors are very bad for chx respiratory systems and also it harbours a very itchy mite.  If you get this on you it can cause an alergic itchy rash.  I don't think it is parasitic on chx like Red Mite but is very tiny and not pleasant.  It is, as casey says, quite messy and unsightly on a paved or patio area.  None the less if you can change it regularly and keep it dry and clean the chx will like it and it's relatively cheap (though increasing this year).
HF