I avoid mulches that are dyed - the reds and super blacks are common ones. There may be no reason to do so, but I don't know what those dyes are made with.
(See J. Musser's comment below for info on dyes)
However what we typically use for garden paths (when not using gravel or pine straw) is wood chips. Wood chips, though a bit more coarse than most mulch, tends to support foot and vehicle traffic better than shredded mulch. The larger pieces also mean that it lasts longer (unless the mulch has some preservative, though I don't know that any mulches use such things) and drains better than shredded mulches.
Often we don't even have to pay for them or delivery. We call around to tree-removal guys and ask if they want to drop off some chips. They're happy to deliver to our job site, and to deliver them for free, because otherwise they'd have to pay for disposal. But we will take a full truck-load, and you might not need that much. So they might not want to deliver a partial load. Worth asking, though.
If that doesn't work, our plan B is to go to the local landfill where the same guys have paid to drop off the chips. Around here (eastern Long Island, NY) most landfills will either let you take what you want for free or charge a fraction of what you'd pay from a supplier. In my home town they'll even load your truck for a nominal fee.