The 1/8" cork sheets are from McMaster-Carr (9487K3), and are relatively inexpensive. They cut well with a hobby knife if you have a steady hand.
As we've mentioned before, these days it is straightforward to get parts laser cut for you. Local laser cutting shops are becoming more common and online services like Ponoko and Pololu make it easy to run small projects like these.
Here's a larger set fabbed out of 6 mm hardwood plywood.
Besides plywood and cork, we also made coasters out of medium-density fiberboard (MDF). Both MDF and plywood are susceptible to moisture damage (an operational hazard for coasters!) so we sprayed them with a clear acrylic coating to make them water resistant.
Here are the coasters cut from 6 mm MDF. Interestingly, this material darkened considerably from its "natural" color once we added the clear coat. Some chemistry going on here... not sure what.
Another set, laser cut out of 3 mm white acrylic.
Mmmmmmm.... Curvy.
Evil Mad Scientist Laboratories
http://www.evilmadscientist.com/article.php/typocoasters