I really like to use bean bags for learning to juggle. They don't bounce or roll away when you drop them and you will drop them a great deal when learning. When you become a little more advanced I recommend the juggle balls from BURNINGION at
http://www.instructables.com/id/How-to-make-juggling-balls/ they've got great feel and grip when you've mastered the bags. There's also a decent ible on how to juggle from CANNADAKID at
http://www.instructables.com/id/how-to-juggle/ check it out. My only suggestion is to sit cross-legged when learning to save on bending over so often to pick up the dropped bags.
The materials needed are the fabric, I chose a sturdy cotton from the remnants bin. I was lucky to find a bright colored fabric with a light texture which will give a great feel for juggling. For a template I used a 3x3 sticky note. A felt-tip pen, scissors, and rice for the fill are the remaining items. I also used a pencil and funnel not shown. The fabric was on sale and I picked up a yard for $2. The bag of rice was an inexpensive variet for $1.20. I estimate I can make about 20 bags with this amount or one set and a couple dinners.