They are all good, but the best mulch you can get if it's available is called Florimulch. It's made from an invasive tree, melaleuca, so does two good things at once, promotes eradication of a bad tree to make really great mulch. It's so good because it does have an aromatic oil in it, tea tree oil, in fact. It's not harmful to plants, but does discourage insect activity - in fact a couple of UF studies showed it was somewhat repellent to subterranean termites. So it's safe to use near your house as well.
