I second Mielkes for an online source. I suggest a basic merino wool for starters -- it is a fine diameter wool that felts easily into a smooth firm felt. Corriedale would be my close second pick. The other types of wools felt too, but the finished felt tends to be fuzzier and slightly rougher feeling. They often don't come in the huge variety of colors that merino does.
My first pick from Mielke's would be the small 25-color Merino sampler:
http://www.mielkesfiberarts.com/product/merino-top-sampler/
And my second would be the small Corriedale sampler:
http://www.mielkesfiberarts.com/product/fiber-artists-bag-of-candy/
I usually wrap my soaps first with a plain natural color Merino, and then add thin layers and strands of colored wool over the top of that, so you might want to buy a slightly larger quantity of top in a basic color if you want to take this approach.
If you have a local knitting or fiber arts store, that's another source of interesting materials.
Don't get carried away with the idea of adding non-wool fibers, "locks", or other embellishments to the felt. You want a felted soap to have a tight, flat finish and adding non-wool stuff can result in floppy, dangling bits or an irregular bumpy surface. That kind of thing can be nice on an art piece, but not so nice on a felted soap. If you want more details, then branch out someday into needle felting.
ETA: It's easier to felt over an oval or round soap rather than a rectangular soap or any other shape with sharp corners. I do the rectangles, but it can be a challenge to keep the felt on the corners from getting too thin. Arianne Arsenault grates a freshly made bar of soap, hand forms the shreds into a flattened disk with softly rounded surfaces (exactly like the shape of a crab cake), and felts over that. Then she lets the young soap cure. I can see how this shape would work really well to felt.