You'll need medium to heavy cardstock in an assortment of colors. You can also go for different prints and patterns depending on the look you'd like. Cut the cardstock into half-inch strips. I cut the letter-sized paper shortways so I end up with more strips.
Join the ends of each strip to form a loop. You can use glue or tape, or leave them loose. Punch holes about half an inch from the edge.
I chose to use paper twine for stringing my garland. Since paper twine tends to fray, I used washi tape to seal the end much like a shoelace aglet.
Randomly string all your paper loops together. No need to plan out the order of your colors.