Hay should a main part of any cavy's diet. The cavy diet should be roughly as follows:

70% hay - 20% pellets - 10% treats (meaning veggies/fruits)

A good-quality hay will be a nice green color, and will not smell moldy or dusty.

In the wild, cavies ate mostly anything that was left over once larger animals were through - which was dried leaves and grasses. Without adequate hay cavies do not get the roughage they need and their teeth are more likely to overgrow. In cavies, malocclusion is more common in the back teeth (molars) than the front teeth (incisors). Constant chewing of hay keeps their back teeth worn down and at a correct length. Hay should be free-fed to cavies. With this in mind, here are some common options for hay.

Most of these kinds of hay can be bought from a pet store, but are much more inexpensive when bought from a feed store. A bale will go a very long way, though, so unless you have a lot of cavies you may want to split a bale with other pet owners or just have somewhere to store a bale. Around here, bales go for around $20, depending on the kind of hay and the season. If you live in an ag area, they may be less. Still much cheaper than the pet store!

Alfalfa

This kind of hay is best suited for pregnant/nursing sows and cavies up to the age of six months. This kind of hay should not be free-fed because it can cause kidney stones. It contains excellent vitamins and minerals for young/pregnant/nursing cavies, but is much too rich to be fed other than as a treat. A good batch of alfalfa will be bright green with lots and lots of leaves.

Oat Hay

This is a good all-around hay, a bit pricier than some other kinds. It has a nice soft, wide blade and a great sweet smell.

Timothy (no photo)

Timothy is the most common hay used for cavies, and is one of the best all-around hays for them. Timothy has soft, wide blades and cattail-ish seed heads. Timothy is the most expensive kind of hay (at least where we are).

Bermuda Grass hay (no photo)

Grass hay is a thinner bladed hay, and is a bit tougher than other hays. It is one of the cheapest kinds of hay, but the cavies enjoy it.

Orchard Hay

This kind of hay is comparable to Oat hay, though it has a bit of a reddish tint to the blades. This kind of hay also has a very nice sweet smell.

Hay Cubes (no photo)

Hay cubes are great for car trips when you don't want hay all over your car. They are also great for longhaired cavies in show coat, as the 'cube' allows them to still have hay without getting it stuck in their coat. Hay cubes also help them wear down their incisors. They are most commonly available in Alfalfa, Timothy, or an alfalfa/timothy blend (which is what I use).