Recent studies have proposed to dynamically reshape the power demand curve of a data center (i.e., power shaving) with energy storage devices, particularly uninterruptible power supply (UPS) batteries. Power shaving can be used to limit the peak power demand in a data center, in order to reduce both the power infrastructure investment (i.e., cap-ex) and the electricity bills (i.e., op-ex). However, power shaving requires the UPS batteries to be frequently charged/discharged, which is known to compromise the battery lifetime and availability. This paper presents a detailed quantitative study that explores different options to integrate supercapacitor (SC) with batteries for cost-efficient energy storage. Compared with batteries, SC allows more charge/discharge cycles and has a higher power density, which are desirable for fast power shaving. However, SC also has undesirable characteristics (e.g., relatively high self-discharging rate and cost). Therefore, we quantitatively compare three possible energy storage options (i.e., Battery-only, SC-only, and Battery+SC) in detail, with different SC self-discharging rate assumption. SC options (SC-only and Battery+SC) are shown to be more cost-efficient designs, saving the energy storage cost by 34%, on average, compared with Battery-only. For a 10MW data center in a 10-year period, the saving can be converted to $3M in total cost of ownership (TCO) reduction by allowing more servers to be deployed.