Great question! This may depend on whether you house them inside or out too. I know Ron St. Pierre and Bert L. has recommended eucaliptis (sp.LOL) mulch as well as cypress. Do not use pine or cedar due to their natural oils that can harm the tegus.
One other aspect with mulch is that treated mulch for insect protection, etc. can also harm the tegus. These chemicals can be ingested on occassion. I used cypress mulch bought at Lowes or even Wal-Mart. Recently we switched to topsoil because it was easier to remove their waste. However, topsoil was creating a mess with dust in our home, even moistened often. The tegus love it though. We have left 1/2 of the existing topsoil in their cages and placed approximately 3-4" of aspen mulch/bedding on top on the topsoil. This was only done this weekend so we'll see how the results go. The tegus absolutely love this stuff!!! We purchased it for $3.47 a bag at Wal-Mart in their pet dept. It is 1/2 the price than at petsmart or other major chains.
Good luck and hopefully others will offer more insights!
Greg