The best material is call "sharktooth scrim" and is used heavily in Theater production. But it is very expensive and usually only sold in very large pieces to cover entire stages, etc.
However, any fine-netted material should work ok for a haunt. I'd go to Wal-Mart or a discount fabric store and buy some black Tolle (Tulle) material for a few bucks a yard. That's what I did and it's working for me.
The Vile Things link above has great info and resources. Check it out.