Several years ago, I bought a thimble at the Houston International Quilt Festival. It was made from a black, rubber-like material, and it is wonderful to work with. The woman sized my finger so that the thimble would fit correctly, and it is dense enough that I will never need to worry about a needle piercing it.
Also, when I am doing applique work, I use the "Nimble Thimble" which is a very lightweight leather with a slit in the end if you have long fingernails. I have also used the thimble pads and a similar product which is a clear, oval thimble pad called "Thimble It".