Hey Jonathan,
Do you know what materials you'd like to use? I'd totally recomend foam, fleece, fake fur or feathers for the hair. Ummm, I think you'll need to decide that first. Try making a mock-up with felt. It will give you a sense of what you'd want your finished product to look like.
If this is you first puppet, I'd suggest getting "The Foam Book." You can get it through amazon.com.
Hope this helps.
Check out my puppets in the webpage in my signature.
Patrick