It does tend to pack down and may have a few weed seeds. Marsh hay is often recommended in gardening books, but it is not available locally. Leaves from various trees and shrubs make excellent mulch when shredded. You can shred your leaves by running over them repeatedly with a lawn mower or using a leaf shredder. Avoid walnut leaves.
Leaves are inexpensive and usually readily available.
They offer good insulation and compost readily. A layer 4-6 inches deep is best for most perennials. Bearded iris should either go without mulch, or be mulched extremely late. The iris borer seems to be worse on mulched plants, especially those mulched early. Making sure your perennials stay well watered until the ground freezes is important to successful wintering.