Peat moss makes a poor mulch. First, it breaks down very slowly, largely because it has few nutrients and so does not much interest all the decomposers. Second, when it dries out, it tends to shed water instead of absorbing it, which means a rain may run off the garden instead of reaching the ground. All work fine. They vary in texture, look, and nutrients.
Shredded bark looks the most uniform, breaks down faster, and offers more nutrients.
Shredded bark mixed with wood tends to look jagged after a year or so, when the small bark pieces have broken down and only the wood splinters remain. Bark nuiggets break down very slowly, so they last a long time, but they look a bit clunky, though if you never see them from near at hand, they're fine. Mulch at the garden center costs dear compared to bulk mulch, which you can sometimes buy from landscape contractors. I've also noticed that private composting companies have sprung up here and there and will sell mulch in bulk and deliver it by the truckload at fairly good prices. Finally, many cities compost leaves and give away the compost or sell it cheap.