A zipper: make sure you get the kind that splits into two halves, not the kind that stays together. I got em at SCRAP.
Needle & thread. Or a sewing machine.
Step 1: Sew the Zipper Together
Just take the zipper and make a Mobius strip with it, sewing the ends together. Not really that much to say here. Don't sew the two halves of the zipper together.
You can also take multiple zippers and sew them together next to each other, and make something you can split multiple times!
Now you're done. Go play with it!