For wood targets, you want endgrain out for good sticking and durability. So cut up a tree into rounds maybe 6 inches thick. The larger diameter the tree the better. I don't know if there is one type of wood that is better than all others, but I would avoid anything with excessive sap.
Alternately, you could buy lumber and make targets from that.
You can use the foam rubber archery targets as well, but wide bladed knives make short work of them. If you go that route, wrap the entire thing in a couple layers of Duct Tape so it stays together and lasts longer. This type of target can be used indoors as well, provided you have adequate protection for surrounding areas.