The material used in Needle Felting is wool rovings. This is just wool that has not been spun, so it still has that puffy, cotton-candy like appearance. It does not particularly matter what type and quality you use.

There are certain types of wool which are much cheaper, and which will not negatively affect the end product. Sometimes I enjoy working with a little higher grade, such as a Merino wool, because it is softer and a little easier to work with, and it gives your sculptures an even finish and a silky feel. That being said, if you work a low quality wool for long enough, it will look just as finished. Sometimes it is a good idea to use your rougher wool for the base of a sculpture, and the nicer, smoother stuff for the outside and finishing touches.