This bear is crocheted and then felted with a tool that looks very much like a dogs brush, but is slips on a finger. The thread used is that for embroidery but it has a halo to it.
You can many more bears like this. It appears to be (or very similar to) one done by ThReAdTeD. I don't have the URL at the top of my head, but you can do a search for thread teds and find her work. On occasion she does sell kits. I got one one year of an ornament. The belly looked like the ball of a Christmas decoration. I used to keep up with all her new stuff, but I find it difficult to do these days.
She's a wonderful artist and will to give helpful hints.