Lots of the really fussy people say NOOOO to hay because it might poke their eyes or have sharp bits blah blah blah... I used to think so because everyone told me that and it made sense!!
But when i was breeding rats, mice and hamsters (about 3-4 species of each) i used a lot of hay and we must have had *thousands* of rodents pass through the doors whether bought, bred or rescued and we never hadeven a single eye poking incident with hay!! I think its one of those things where one or two people had a problem and caused mass hysteria over it via the internet.
---------
That said... there is one important factor!!
Doesnt matter where the hay comes from, all farmers have rabbits, mice, voles, rats, foxes etc running about in and living in the hayfield. This means than about 6/10 lots of hay have a parasite of somekind in it, and only about 1/6 time of that does it actually cause a problem. The most common being the little white lice... absolute beasts to get rid of and reproduce enough to drain a rodent of blood!!
My advise...
Buy smaller bags of hay so it isnt left around for ages, buy two bags so you have two going and get some of the Beaphar Insect Repellant (kills all lice, mites, fleas and ticks and also acts as deterrant) and open a bag and spray the insect repellant in and give bag a good shake... leave a few days before using....
If you have 2 bags of hay, you can have one sprays and drying for a few days whilst you use up the other bag and so on...
------
Look at the hay, does it have lots of big bits in? Sharp and uncomfy... or does it have lots of dust in the bottom of the bag (or on the outside of the bag for that matter! dont use hay thats been in a petshop for ages! gets dry and musty).
Timothy hay is better...
-------
Try getting a kitchen roll tube, cutting a few holes in it, stuffing it with hay and a few treats (ones that smell strong) and using string, wire or cable ties, hang it up in the cage!! Instant rat toy!! (might take em a while to figure it out tho!)