Guinea pigs seem to love these. They love to snuggle with them and for some reason, toss them around their cages.
They're really easy and cheap to make.
That's my Guinea pig, Muffin, playing with his.
All you do is grab an old, thick sock. One that won't rip easily.
Stuff one end with some hay (You can use old newspaper, but I prefer to use hay, since the ink *may* not be friendly.)
Tie the end tightly and you're done. ^^