For a while Jimmy, my cocker spaniel, had a bed that came from the Sierra Trading Post catalogue. My mom's dog had a "dogs nest" from Orvis that she loved. Before that she had a small biscuit quilt pillow that my mom made for her!
One of the men at work buys big bags of cedar chips at the feed store and fills a pillow case with those.
I had to get rid of the Sierra trading post bed because when I got the Cavalier puppy, he used it for a toilet...now they both sleep either on (when I'm alone) or under (when DH is here) the bed.