I used to buy it in bales with my old piggies and it was so much better value. The quality will vary though so always make sure you inspect it before buying, stick your fingers right in to check under the surface the make sure its not got damp at any point, damp breeds mould which will make them quite sick. It should have a nice, fresh, sweet smell, dont buy from anywhere that has musty smelling hay. Pet shop hay was once from a bale, they dont do anything other than break it down into smaller bags really so unless it's been stored badly, you'll have no more issues with lice or mites than pet store hay, in fact, I never had lice or mites until I started using pet store hay so it may even be the other way around, given that pet shops with have rabbit and guinea pig stocked which may be carrying parasites which can get passed to the dry goods.