A rat will appreciate some bedding material with which to build a "nest". Bedding material can be bought in pet shops but any fluffy cotton wool type bedding should be avoided as this can cause harm if eaten by the rat and the fine fibres can become caught around the rat's limb causing injury. Do not give your rat pieces of material or wool, etc for bedding material as this will also cause problems if eaten by the rat as it will not dissolve in the stomach and may cause a blockage. If in doubt as to whether any bedding material is safe for your rat - do not use it.
Soft paper bedding is best as this causes no harm if eaten and is easily broken. It is not necessary to buy bedding as this can be provided much cheaper simply by taking undyed and unscented toilet paper or paper towel and tearing it into strips for your rat.
Hay can also be used but it should be clean and not mouldy or dusty. Straw should not be used as the sharp edges can injure a rat.