Hey Dave,
All the advice the guys have given is great. Also, look for big chunks of foam around marinas and such (if you live near a lake). I got a HUGE chunk for free from a local boat dock place (I'm talking 3 feet thick, 4 feet wide and 6 feet long). I cut it up and gave it to buddies for targets. I even find big chunks while on the lake in my boat. Lots of smaller chunks can be stuffed in the bags mentioned earlier.
Mo. Huntin started just like I did, with hay bales. Not sure where you live (in town or not) but most farmers have a few bales they are willing to part with for cheap (if not free). Free bales generally have busted wire or twine but can be used to stuff bags too.
Good luck, have fun, be safe (it is possible to do all three at the same time).
OkKeith