Tree, unvarnished. Newspapers are fine for an emergency if your shoes are soaked, otherwise they neither support nor freshen the shoe like trees do. Varnished trees do keep the shoe's shape, but are a useless and pretentious affectation. Also, if your trees are not made specifically for your shoes ("lasted"), then there is no real advantage of more expensive ones over cheaper ones: Go for a full-shaped heel, and unfinished cedarwood - cheap, cheerful and absolutely fine for most shoes.
I edit: each!