On a whim I bought Sammy a Stars Wars Clone Wars throw blanket today...because he LOVES Star Wars. (I'll post a video of him singing the Imperial March below.)
Tonight he announced that the Star Wars blanket was his new blankie, and his old blue blankie (which I bought him when he was born and he HAS to sleep with every night or the world will end) was now Monkey's blankie. He wrapped Monkey up in the blue blankie, and then crawled under the Star Wars blanket.
(He has a stuffed pink monkey with long arms and legs that he plays with...granted, Monkey dies a lot when they're playing [he keeps getting shot for some reason], but he's brought back to life by the doctor.) Of course Monkey sleeps right beside him, so his tried and true blankie is within reach, but it seems to be a good first step (made on his own) to gradually outgrowing the need for a comfort item.