Shrub type dogwoods(red osier, gray dogwood, rough leaf dogwood, silky dogwood) all make good arrows. River cane, switch cane, hill cane, japanese arrow bamboo, tonkin bamboo and others all make good arrows. You can buy wood dowels at the hardware store to make arrows if you are choosy about what you get or you can split or saw out shaft blanks and use a thumb plane to reduce the stock to round shafts. The possibilities are endless.
Check out George Tsoukalas' archery website. He tells and shows how to make arrows from shoots or boards. Check out the "How To" section on this site. Lots of info there. Check out the "Arrow" section on this site...lots of info.
Ask questions when you get stumped. Lots of generous, knowlegable folks here that are willing to help you out.