I made this little rabbit from a hand knitted square, with the sides sewn in to create the shape and filled with carded wool. If you are not a knitter, or have limited time, you could cut a square out of a an old woollen blanket or jumper and hem in the sides. I was thinking I might be able to make other animals from the basic shape.
Finn created a little burrow for it out of pillows and blankets.
Here is a link to similar instructions. http://www.heartstringsfiberarts.com/bunny-pattern.shtm