I've only seen the bump function $e^\frac1{x^2-1}$ so far. Where could I find examples of functions $C^∞$ on $\mathbb{R}$ that are zero everywhere except on $(-1,1)$?
Are there others that do not involve the exponential function? Are there any with a closed form integral? Is there a preferred function?
Presumably what you want is a function that is $C^\infty$ on $\mathbb R$, nonzero on $(-1,1)$ and zero elsewhere. It's convenient to use something involving the exponential function because it's nonzero everywhere but goes to faster than any polynomial at $-\infty$ and it's easy to differentiate. If you really want to avoid the exponential function, you might try something like $$\frac{1}{I_0(1/(1-x^2))}$$ for $-1 < x < 1$ where $I_0$ is a modified Bessel function of order $0$.
For an example that has a closed-form antiderivative, you might try $$ \frac{\left( {x}^{2}+1 \right)\ {{\rm e}^{{\frac {4x}{{x}^{2}-1}}}}}{\left( \left( {x}^{2}-1 \right) \left( 1+{{\rm e}^{{\frac {4x}{{x}^{ 2}-1}}}} \right)\right)^2} $$