For all of them, I used white polar fleece. It's incredibly easy to work with, doesn't require hemming (just be very careful when trimming your edges), and is very soft for next to baby's skin. These are sized for newborn - 6 mos, according to the pattern I used (a very old pattern my mom gave to me).
I used a blanket stitch around the face for all three bonnets, then embellished each with a unique touch. I didn't have enough fleece to make the top of the brown bonnet out of one piece, so I continued up the middle with the stitch to cover the seem. (The tops of the other two are one piece.)
On the back of the brown one, I stitched a line of "x"s. The tie is a brown ribbon.
The green one is probably my favorite. Again, blanket stitch around the face, green ribbon tie...
Then two little red starbursts on the back by the neckline. Kind of Christmas-y. They are, after all, cold-weather hats!
The yellow one is very cute, too. Again with the blanket stitch, and then a zig-zig embroidered around the back. There is a small bow tie in the front of this one, b/c I didn't have a thread long enough for the blanket stitch around the face. This is where the two threads came together (exact middle). 
(That's my 13 m/o daughter's pudgy hand, which she is unable to keep off of anything these days!) And a yellow ribbon tie.
Fleece at my local WM is $4.44/yd. Ouch if you're making a blanket, but bearable if you're buying smaller pieces. It is 60" width, tho, so that makes it better. And the embroidery floss I used was 10-20 cents each. All three of these bonnets used most of the 1/4 yd and quite a bit of floss.
