I learned on tennis balls and they're better than nothing. Not that good for juggling though. You have to chase them, and the fuzz dries your hand making them tougher to catch. Bean bags are the best -- they don't bounce, and what would have been a missed catch with a ball will often be a catch with a bag, cause two fingers can pinch it in enough to get a purchase. A ball, OTOH, would just go squirting away. If one is going to use an actual ball, lacrosse balls are recommended. Firm rubber, good size and weight.
Flying Clipper Alt. Sports makes really good juggling bags. The proprietor is a hacky sack champion (they all call it footbag) and has a store in Eugene, OR devoted to juggling and footbag.