Well, my preferred mulch is a very thick carpet of fall leaves simply because they are free. I go around the neighborhood in the fall and collect bags off the curb and spread them around the garden. You do have to go somewhat thick as you want the leaves to last till the next fall when the process is repeated. I never shred them, I just put them. Most of my daylilies are nestled in a thick carpet of leaves.
If I don't use leaves I use straw. I prefer the leaves because they are free and I have to pay for bales of straw. Don't use hay as it has more seeds but even cuttings of straw sometimes have a lot of the seed heads in them. You buy bales of straw at any farm supply store. The type of place that sells horse feed. My daylilies on my sideyard slope which is a steep hill are mulched in straw as the straw stays in place better on a slope whereas leaves would slide down the hill. I also just mulched all my tomato gardens in straw yesterday. Keeps the weeds away and keeps the soil off the tomato leaves. Plus I think straw looks good but then I realise others might not agree. It is very good for the soil as earthworms move in and help break it down to supply fertilizer for the garden.