Cheep hotel blanket as long as we are going blankets to start. Get the ones that have a fuzzy grey on one side and a foam interior. These are made with two sides like this and sewn together so the foam is gone. I use it in a Black Stonefly pattern I do. I think it was the inspiration for fuzzy foam. I was showed this at a fly tying seminar that had some really big names at it. One of them showed me.
The lining from older postal envelopes. I'm not sure they still make them but it has a very tough paper-like lining that has visible fibers in it. You can't tear it and water does not effect it. I used it to make caddis wings. From the same aforementioned seminar.
Gorrilla Glue. I make hard body flies that float like a cork with it. Just mix it with equal parts of water and glue on plastic. You can color it with markers. I used it mostly for tiny white mayfly bodies that float like a cork.
Glow in the dark spider web from the Halloween section of K-Mart. It has the exact feel of EP fiber and works the same way except it glows.
Heart Beads from the craft store. I use them for heads on my version of the Reynold's Pike Fly.
Surgical glove. I use it for the body in some nymphs I tie. You can use a marker to color a strip of it and a second color against the edge to give it a segmented look. Very tough stuff. You can also cut curly tails out of it for minnow type flies.
Halloween wigs. You can get colors you can't get Big Fly Fiber in. It doesn't have the curley ends but a pencil and a hair dryer on high takes care of that. It also cost a fraction of what big fly fiber does. I got some that had the best colors of Flashabou you ever saw mixed in.
I use a lot of odd stuff.