AFAIK, garrettwc's right. I don't really know what the specific name for it might be
It's just a simple, thin nylon-type braided cord. I've found it in various forms and qualities, often packaged with outdoorsy type equipment. In fact, I have a rather generic stopwatch on the desk here that has a neck lanyard of similar consistency.
Come to think of it, I believe the local Mega-Lo Mart has packages of it in the hardware dept. along with their light-duty chains, links, clasps and such.