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They like to shred it, and can spend hours with a piece of paper, making it into a thousand small pieces! Just remember to use plain white paper with no dyes, since this could be harmful for your pet. Also, help the bird by having already cut the pieces of paper smaller, so that the bird can handle it. It's a funny thing actually. You can save your birds shed feathers (Do not pluck them off yourself, that's mean!) and when you have a reasonable amount, tie them to the end of a cotton twine or similar, and then you can tie it to the roof of your birds cage, and watch your pet have fun with the new "friend"!
Birds really appreciate paper. Birds like feathers.