I use fur or feathers on my hunting arrows. You can get the feathers from a hobby store for really cheap--a big pack of marribou feathers is a buck or two. Just peel and glue.
Might find colored fur there too, or something similar, or just buy a rabbit pelt for a couple of bucks and you have a lifetime supply. The trick to cutting these is get a SHARP knife (I use an X-acto knive). Don't try to run the blade over the hide--you'll cut too much hair. Turn it hide side up, stick the knife through the pelt into a cutting board, then pull the hide to make the cut.
Chad