Bert's hair is made of fake fur; I don't know the specifics but I know it's a black long pile type of fake fur. There are a multitude of websites where you can buy fake fur, for example,
http://www.mendels.com/ , or you can look around your surrounding area in fabric shops for it. My suggestion on how to make his actual hair style is to read around more on this puppetry forum for more help, I know it's helped me a lot in the past. Hope this helps!