My first thought would be yellow fondant. Use something like a pasta wheel or herb cutter (with lots of blades) and just start shredding the fondant until you get a nice chunk for a bundle. Have you tried checking any of the farm pics to see if you can tell what was used? Or you could PM one of the creators and ask what they used!
THeres a cookie called haystacks. They are delicious! But they don't look like bailed hay.... melt a bag of butterscotch and I think just dump in a bag of chow mein noodles... you can find the recipe at recipezaar. I hope that helps.....or you cool use spagetti noodle, or tan colored fondant squeezed through a clay gun and dried.
HTH!!
Maybe you could use some shredded wheat... I guess it depends on what size you want it to be, but I think it might be available in different sizes (think frosted mini wheats... but the non-frosted ones.) You could use royal icing to make the rope around the "bales" or small strips of fondant.
HTH
Here are a couple of pics of cakes with haystacks:-
I like the one made with the Wilton fur/grass tip 
http://www.sweetcakes4u.com/Web%20Pictures/Web%20L%20-%203D%20Barn%20animals.jpg
http://cakestocelebratecny.com/yahoo_site_admin/assets/images/DSC01490.86214357_std.JPG
HTH's
I "thatched" a roof on a cake by using several different colors of fondant that I ran thru the extruder with the disc that basically has lots of little holes. Or did I run that through the pasta machine and then thru the thin spaghetti cutter? One or the other. I think now it was the pasta machine.
In the fall themed cake in my pictures I made a scarecrow sitting on a pile of hay and what I did was I started w/ a retangle chunk of yellow fondant then I took a thin sharp knife and beign to make indentions and then on the top I laid a few cut out strands of the "hay"
Thank you so much for all the great ideas!!! you ladies are wonderful!!!!!!!!!!!!!!!!
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