I made a bunch of these for last holiday. It's pretty easy.
You'll need: Pipe cleaners, big googly eyes, wire, yarn or pompoms, and hot glue.
I made pompoms using some nice meatbally colors of yarn, and left a couple of the ends long for tying. If you don't know how to make pompoms, just buy some big brown ones.
Then, cut one pipe cleaner in half, fold one piece in half, and hot glue googly eyes to the ends.
Take 15 full length pipe cleaners, plus the one with the eyes, and wrap them very tightly around the middle with some heavy wire. Then tie on the pompoms (glue on the commercial ones) and artfully bend all the noodly appendages around until you are happy with them. Voila!
I've seen other versions using lots and lots of heavy chenille yarn for the appendages. Those look much more cuddly, but harder to pose.