The best/proper material is "black wool serge" and the thickness/weight should be 50 or 60 (or higher). I cant remember what the unit of measure is for those 50's or 60's ... but its not millimetres.
When you Google (or Froogle) "Black wool serge" you'll get a load of theatrical suppliers listed. Best advice... shop around, I got my material for about £6 or £7 per metre fairly easily, but some places were up in the £12 per metre price range for exactly the same stuff....

Some of the ready-made star cloths use a plasticy looking material, like the stuff that tent flysheets/rain coats/cagouls are made from and they look very crinkled, very quickly. Black wool serge seems to capable of looking good even after being slung in a box at the end of each night.