Velvet is the best for absorbing light 'spill' from the projector, but would be prohibitively expensive to do a whole room in. I don't think you need to worry about absorbing light on the walls like you do with the projector border. You certainly don't want anything that is reflective, but the amount of light that hits your walls is nothing like what is hitting the screen.
You probably can get away with less expensive materials. What I would do would be get a couple small samples of a few things that aren't going to break the bank (say a yard since that's how they sell it by) and test it out on the wall and ceiling that gets the directly reflected light from the screen. If it absorbs that, they you'll be fine with any ambient light too.
I actually used black suede for my quick temp border and it works very nicely... not as good as Velvet, but it was also $2.5 a yard, so it worked extremely well for the price. Try a couple samples before jumping into any particular material.
Also you can sometimes snag a great deal on velvet curtains on ebay. I know you didn't say you were looking for curtains, but I'm sure you could use them and make them work as a wall covering.
So I just got done putting a 12" border around my screen with black spandex velvet. Looks great.
....but my ceiling and side walls are another story.
I cannot paint them and the velvet is too expensive to use that much of.
My ceiling is vaulted as well. So above the screen it is shaped like this (/) but on less severe angle. So the left side of the screen is 'much' closer to the ceiling than the right side.
I don't want to only cover the left half of the ceiling so I may be out of luck there as a piece on just the left half of the ceiling would look AWEFUL.
To the immediate left of the screen is a door, so it's hard for me to do anything to that wall as well....
To the immediate right is openess, then a column wall ~3.5' from the screen wall and only about 2' wide and from floor to ceiling.
By Spandex Black Velvet, do you mean Velour? It has a higher pile than crushed velvet and the black is blacker than black for light absorption. I would think most commercial products would use something similar as real velvet is too expensive (made from silk).