Yarn tails are becoming really popular, I'm seeing them everywhere now! I found the perfect yarn at my local craft store, so I had to try it out. Here's a tutorial showing exactly how I made my cat tail. Let me know if you have any questions!
Using the fur brush pulls out a lot of extra fluff. This is totally normal, and you can always save it to use as stuffing for plushies or what have you. It helps to have a plastic bag handy to stuff it all in.
EDIT: After a lot of wearing and brushing, I realized that despite how tight my knots were, the floofs can start to slide on the base. I went through and stitched them on by laying the tail flat and separating the floofs, revealing all the big knots. Then just go through with a long threaded needle and tack them to the base. Alternatively, tie your fluffs INTO the weave of the braid instead of AROUND it to stop them from sliding down!
EDIT Apr 2014: I recently made a great fluffy tail with "Loops & Threads" brand "Cozy Wool". It is 50% wool, 50% acrylic super bulky wool that I didn't straighten. I used longer strands to make a floofier tail (Instead of wrapping around your hand, wrap around a piece of cardboard or something that is wider than the span of your fingers) and only tied 4 strands together at a time. The tail has a cute wavy look as the fibres have not been straightened, just brushed out. I highly recommend this yarn!
Here's some great tips from friends and fellow users:
1. Try a really soft, chunky wool - you might not even have to straighten it and you need to use less wool!
2. Tie your fluffs into the braid instead of around it to stop them from sliding down the base!
3. Try separating the wool strands before brushing to prevent knots.
Total time: ~5 hours+ depending on length