It is made of cotton (the main print) and flannel squares. The edges are sewn, the snipped, then washed and dried many times to fray the edges, giving it the fuzziness. Each time it is washed, the edges will fray more, and the flannel will get even softer.
This is the front, before the seams are snipped
The back, before the seams are snipped:
After the seams are snipped on the front, but before it is washed: