To get the most out of a shaving brush you should look for one made purely from badger hair. Badger hair is the best known brush material due to its water ability to retain water. It is a natural product that is shorn from farmed badger, similar to the process done with sheep. Expect to spend anywhere from $25 to hundreds on a quality badger brush which will last for years if properly cared for. This may seem costly at first, but when you factor in the fact that you will use much less shaving cream or soap overall it's actually a worthy investment.
The process is quite simple and doesn't add much to your routine. First soak the brush in hot water in your shaving mug. Dump the water out of the mug and add a pea size portion of shaving cream and proceed to lightly whip up the cream using your brush in a circular motion. Once you reach the desired consistency that's it, just brush the later onto your face in a circular motion to stand your whiskers up and exfoliate your skin. This should provide enough warm lather for 2 or 3 passes. It may seem like a bit of work but it will give you a better shave while reducing irritation and ingrown hairs, as well as looking great in your bathroom.
Here is a highly recommended brush on Amazon for a reasonable price:
Silvertip Badger Hair Brush