I am very lucky to have a sweet independent craft store nearby with a luscious selection of wool roving of every color under the rainbow...super affordabl at $2 an oz! Any denverites who haven't perused FancyTigers heavenly upstairs roving room, you must make the trip.
There are premade kits with the small amts of each color and directions to make various little items, but i prefer to work freehand, use my imagination, and just get an oz of each color at a time so i have a stockpile for rainy days...
So much fun!
In case anyone doesn't know, needle felting is the process of interlocking wool fibres by stabbing it with a barbed needle. The barbs catch the fibers and cause them to tangle and bind together. It is done a brush or foam mat, with a felting needle. Like this: