I use mulch made from coconut fiber. It works quite well. I think it's keeping the soil moisture in balance because the shrubs have become greener since I applied the mulch.
I have used some other unconventional things for mulch, like shredded paper. But I did not have much luck. I think it takes a lot of effort to make a good homemade mulch with things like paper. If it's not done right, it can actually harm soil than help it. And it doesn't look very nice either.