We used 5 different styles of bats cut using a Cricket and hung them with simple fishing line and tacks. The first step was a single line of bats that snaked through room. The bats were hung at graduating heights to give them the appearance of motion. Once we had our basic "flight pattern" we filled in with the rest of the bats.
NEW: For those without a cricket or time you can purchase your own set here: http://www.etsy.com/shop/TheHauntedHost#