As in keeping moisture present or as in for erosion control?
In it's purist form for your desire to retain water, the best mulch is whatever wicks any water touches it.
Inorganic perlite comes to mind and so does do those crystals crystals that soften up and gorge themselves on absorbed water. They're both great for release water slowly. around your green things... but they DON'T Look very appealing when gazing out into your garden or planting beds!
Right off, my opinion is DO NOT use artificial mulch.
If you have time this Spring... make your own combination of the above with a healthy dose of your favorite ORGANIC stuff that you can buy in bags or in bulk. Personally, I like anything that is already broken down to it's lowest common denominator.
What do I mean? Well for instance, instead of those large, medium or nuggets of pine bark, I'd rather have pine bark that has been ground up already. It breaks down better and retains much more moisture.
Or, how about chipped wood (preferably that which has sufficiently aged into a more compost-like texture). BTW, Fresh wood chips will rob your soil of needed nitrogen so be sure to add some granular nitrogen to aid the surrounding plants and aid in breaking down your mulch.
OH YES... you definitely DO want to allow for your mulch to break down over time. That's what will feed the soil underneath and those wonderful roots of the things you want to keep growing in your yard, right, Cher?
Good points from Ricardo! Let me second the point about the mulch being organic. I do not recommend ever using sheet plastic or "weed control" landscape fabric. Both are much more trouble than they are worth.
I use wheat straw myself...NOT HAY! it works for me it seems to keep down evaporation and at the end of the season I just till it in because wheat straw decomposes over time. I really like the fact that when I water my garden I don't get much splashing up onto the leaves of my plants and wheat straw seems to make it a harder way to go for slugs and caterpillars after a while it seems to pack down which is a good thing.... the water goes right through and it acts as a carpet snugged right up to the base of my plants.
peat moss. Mix it in with your soil, & it will hold Water longer.
Pine straw in our area. It also adds in acidity that so many plants here need.