That is so cool. You placed lettuce plants (or seeds) into the hay bales? Any dirt/compost/peat in the pocket for the plants/seeds? And what else do you have growing out of hay? I love it!
I grow lettuce, cilantro, basil, red bell peppers and kale. It's easy to keep watered as it's very absorbant and it provides nutrients as well.
The soil around here is terrible so raised beds is a must.