This toy still has threads, but is cheap to replace:
I go to Wal-mart and buy the cheapest socks they have... ones that are long (knee length or crew). They only ever cost me a couples bucks for a big pack. I fill one with an empty water bottle that has the cap screwed on (disposable ones) and tie a knot in the sock (the longer the sock the easier it is to tie a knot). He loves it, no stuffing to tear out and when it gets too worn out just replace it. A tip here, just to avoid confusing him, I always buy a different color socks then I wear (I wear black ones, so he always gets white), I never give them to him if they aren't stuffed with a water bottle and I always use socks that I have never worn or washed. This keeps them from looking or smelling like my socks so he doesn't develop a habit of chewing on my laundry.
Another toy he loves is when I take another water bottle (I use a Gatorade one because they are tougher), clean off the label and any glue, then drill a couple holes in the sides just big enough to fit a piece of his food (or if he's lucky, some cat food). I fill it up with an appropriate amount of food and he pushes it around the house for hours getting the food out. Sometimes I feed him his meal this way because he gets so excited to use it. A warning with this one is that it is a bit noisy and when empty if you don't watch him, he'll start to chew on the bottle with hopes that there is more food inside.
I love these because they are cheap and the later keeps him busy and enticed.