In the old days, the blanket would typically be made from wool. Pendleton wool blankets have been made for over 500 years-- were a common trade item with the Injuns/Native Americans and a common piece of kit on the frontier. Wool has been used for a long time and it still works today.
Of course, you can use just about any thick blanket, tarp or poncho to roll up a blanket roll. If you're without a pack, need to supplement a smaller pack or want the "drop and go" ability, a blanket roll is a good trick to have in mind.
There's no one right way to do a blanket roll, though the basic idea remains the same--spread your blanket out, put your stuff on one end, roll the blanket it up, and then tie the ends off and tie them together. In the picture below, I'm using an old surplus USGI poncho.
You'll want to avoid putting anything hard inside the area that will go over your shoulder, and you may want to fold your blanket lengthwise in order to simplify the rolling. I've put a basic survival kit in here--mora, slingshot and ammo, paracord, stakes, headlamp, contractor bag and so on. Historically, they'd often put a change of clothes and a poncho or gum blanket in their roll, which would carry quite easily.
Here it is rolled up and tied off. I used about a 12-foot piece of paracord, so the excess is wrapped around the ends. There are different ways to tie it up--I've seen 'em tied like a pork loin, too. To some experimenting.
It's surprisingly comfortable to carry and holds gear securely. Getting to your gear takes a bit of fiddling, but its a good trick to have in your arsenal.
Thanks to Randy Church for some historical expertise on this post.