I have found the ethelyne-foam (ethafoam) targets stop bolts very well, even from powerful crossbows. You can get the yellow bags full of ethafoam or simple block ethafoam targets... some of which have replaceable center-blocks, which is a good idea. Ethelyne foam does break down under ultraviolet light, so you'll either want a simple cover for your target, or bring it inside when you're not shooting at it.
Stacks of corrugated cardboard mashed in a press, or simply inserted into a cardboard box make very good temporary targets and hits give you a lovely, tight 'pok', but the cardboard gets chewed up pretty fast, and must be replaced with some regularity.
Hay bales make poor targets: They'll generally stop your bolts okay, but bolts often disappear right into softer bales and never come out the other side. You have to tear up your bales to get 'em back. If you put a few inches of ethafoam over the face of the haybales, that makes a tolerable target backstop.
Any other cool target ideas out there? Geezer