I made a beginning sensory bin for when Ellie was just a baby. I got a couple different kinds of fabric (satin, a see-through gauzy fabric and a fuzzy faux fur), some big fuzzy pom-poms, a big feather, a large fake flower and a string of beads.
At first, I would play with them on her bare belly, talking about each one -- whether it was smooth, fluffy, scratchy, soft, etc. When she started reaching, she loved grabbing ahold of each thing and feeling it on her own. I'd also go over different parts of her body and name them as we went -- "Do you feel the feather tickling your toes?"
She played with this until about 6 months or so, when she was too into putting stuff in her mouth and started pulling threads out of the satin!