What should be burned to get ashes in Don't Starve?

Many items will do:

Ashes are an Item that is dropped after a flammable object has been burnt by Fire (some exceptions such as Trees), including the remnants of a Campfire and a destroyed Pig Torch or Fire Pit.
Ashes will also replace any item that is not allowed to be carried through to the next World via the Teleportato (e.g. the Eye Bone or Webber's Skull).

And, more appropriately:

Due to their abundance and minimal use, Pine Cones and Jungle Tree Seeds are good candidates to burn and get Ashes.

As well as tree stumps:

Stumps that have been burned will turn into Ashes.