You'll need some felt pieces, which can be purchased at any craft store. Choose whichever colors you like, I recommend two or three for variation.
Your pattern is a simple petal shape:
Cut six of these out, make sure that they are the same size.
Take two of your felt petals (preferably two different colors) and sew them together along one side.
http://img.photobucket.com/albums/v486/NiGHTSAptiva/Plushies/feltballfig1.jpg
Next you will take a third petal and align it with the edge of the petal you just pulled the needle through, sew those edges together as well.
http://img.photobucket.com/albums/v486/NiGHTSAptiva/Plushies/feltballfig2.jpg
Continue like this until all six petals are connected, then knot the thread to keep it intact, and turn it right side out.
The final seam will stick out a bit, but it's okay. just press the loose edges together and sew them together down to about two thirds of the way.
You need to leave a gap in order to push stuffing into the ball. Once the ball is stuffed, you may insert a jingle bell if you wish, then finish stitching it closed.
Lastly, cut out two felt circles to seal the top and bottom off with.
I actually continue sewing and tie the petal tips together and don't bother with the circles, but for a toy, it looks nicer to add them.
I also have a somewhat clumsy tutorial of my own method:
http://www.youtube.com/watch?v=MUhn_SeDy0A
Balls can be adapted for almost any purpose, most of my early dolls feature ball heads and elongated ball bodies. So once you master this pattern, you're well on your way to any number of sewing crafts.