Sort of depends on how much you want to spend

I used fine grade Merino Wool in mine and it didn't cost an arm and a leg.
On the other hand, if you want to use something like Black Hole [available from WAR audio in Perth], it is quite expensive [Rod, if you're around, have you got an idea of the cost here?].
Depending on who you talk to, wool may or may not be a good filling but my own feeling is that there's better places to spend money than on uber expensive damping materials
and different wools have quite different properties. Fine merino is a very different beast to the stuff used for carpets.
jules