Webbing

This is 1" tubular polyester webbing from Strapworks. It's less than $1/foot and the NeoPixel strips fit really nicely inside. The diffusion is pretty good, especially for such a tight envelope, and it's really easy to work with.

Hot Glue

Hot glue is one of my favorite materials. You can squeeze it into a silicone mold or onto some clear packing tape and it will peel off in a single piece. It diffuses light really well and can be shaped into all kinds of different forms. If you get it stuck to something accidentally, use 99% isopropyl alcohol to release it and end up with a piece of custom-molded plastic that you can re-melt and re-form as much as you'd like.

Polyester Fiberfill

Also known as pillow stuffing, this stuff makes a great diffusion material. This is great for making clouds or other nebulous amorphous shapes with lights behind, and you can keep adding thickness until you're really happy with the amount of diffusion. 

Polyester fiberfill on Amazon

You can also scrounge this material from old pillows.

Bubble Wrap

Easy to get your hands on, bubble wrap does some subtle diffusion. And, it protects your artwork from smashing!

Cricut Vinyl

Many craft stores carry lots of vinyl sticker paper, made for cutting in Cricut or Silhouette cutting machines. The white vinyl is fairly opaque but still transfers light through pretty well. Using Cricut-cuttable materials opens up a whole world of project possibilities, and there are endless varieties of material available both online and in almost any brick-and-mortar craft store.

This stuff is already sticky on the back, but won't stick very well to the silicone sleeve that a lot of pixels come protected in. Hardly anything sticks to silicone, so take that into account if you're planning a vinyl sticker project.