Roballen's suggestions are right on if you want the most effective unpalmered elk hair caddis type of imitation. The trailing shuck should be made of antron or Z-lon and using it makes the fly an emerging caddis imitation.
Now to answer your question. the best hair to use for an elk hair caddis from #10 to as small as you wish to tie them is yearling elk (I know it is not the easiest thing to find but it is available, just ask around or look at various catalog operations until you find it).
Yearling elk is very fine textured with very even, fine tips so you get more hair in the wing for a better sillouette and floatation. Regular elk hair is too coarse for the elk hair caddis in sizes smaller than a #10. Also, deer hair is too coarse unless you use deer mask or deer hock hair; but deer mask or deer hock is only good on flies size #18 and smaller.
Another excellent hair to use for the elk hair caddis in Rocky Mountain Sheep hair, which is very hard to find unless you happen to make a trip to the Rockies and stop in a taxidermy shop to buy some trim cuttings. It is well worth finding it though because it is even finer textured than yearling elk and has longer hair than yearling elk making the tying of even very large elk hair caddis easy.
Here is a scan of two Elk Hair Caddis, one is #14 and the other is #18 that were tied with yearling elk.