What is the best thing to fill the punching bag?

There are many different fillers for the bags depending on preference and the resistance that you want.

High Density Foam
Water
Fiber and Sand
Compacted packing peanuts
Compressed fabric
... etc.

Here's an option: Go to a sporting goods store and punch on a few different ones and fill your own bag with what is in the one that you like the most.

A punching bag can be filled with a variety of different materials like mattress foam, cotton, rags, ripped clothes, sand, Styrofoam, shredded tires etc. You can try out different types of punching bag in a store to find out which one you like best and most comfortable with.

Depends on the bag. A speed bag normally has an inflated bladder inside to give it more bounce. A target bag is usually foam filled and covered in nitrile or neoprene. A heavy bag is normally something durable like leather or canvas filled with sand or other finely shredded material.

They each have their uses: speed, accuracy, power.