Any sturdy blanket is suitable, though the most commonly used are a Mexican cotton/acetone blend. Blankets are essential to use under the shoulders in Shoulder Stand and Halasana (Plough Pose) to protect the neck. Useful also to support the legs and trunk in restorative poses and pranayama.
This is the standard found in most yoga studios:
Here is another variation:
This compressed wool blanket is much thicker and sturdier. Bear in mind that sometimes these blankets do not fold into evenly, which can be awkward if you are trying to make a bolster-like substitute. They are excellent, however, for people with wide shoulders in shoulder stand.