I bought the leotard/bodysuit at a local dance store and added some stirrups to the bottom (it was too long on me since I had to get a bigger size, but am only 5'2 lol).
The "fur" was bought at Fabricland, and on sale to boot!
The boots were an awesome Value Village buy, fur glued on to them and I haven't had any issues with them at all except for the fur falling off lately (two years does that sometimes lol).
Gloves were bought at a costume store and fur was sewed on to them. Mask was also bought at this store (a knock off batman mask that I cut to look like hers)
Easiest costume by far, which is awesome for the reception it got!

2011: I added a corset to give me more of that curvy body that Felicia has, and bought an actual mask from NonDecaffeinatedArt and was probably the best add-on/change to a costume I've made.