I feed bermuda, primarily. I buy it off the field, but this year it's been scarce. The spring was too cool for the bermuda to get started, then it went straight to drought. I just got 75 bales, off the ground at 3.25 per bale. That's the most I've ever had to pay. It's usually about 2.75.
Our new horse used to get alfalfa. I've converted him to bermuda. Bermuda is much finer, and I had to slowly mix in the bermuda so he wouldn't choke on the finer hay. But, alfalfa doesn't grow here (or if it does it gets blister beetles!) But when I first brought him home, I fed him alfalfa at 10.00 a bale. After a while, I started adding bermuda to the mix.
The other hay that's available around here is fescue. It's usually baled in big round bales and fed to cattle. Not many folks square bale around here. The fescue would be cheaper, but I haven't found a good source for it. (At least for horse quality hay.)