>>8101270As mentioned ITT foam core is a popular option as it's light weight and easy to cut. Pic related is a set I made a few years back as my first attempt. I peeled the paper from one side and sculpted the texture, foam is really great for that. I then painted it with spray paint and dry brushed with acrylics. Unfortunately after it dried the paper on the other side warped, which in hindsight, I should have realized would happen with water based acrylics. So that's a thing to keep in mind, even if you don't peel of the paper. I later discovered there are some methods to keep the board from warping, such as coating both sides with non-water based primer.
Then there's also insulation foam, that's what I'm planning to use in my next project. I'm also gonna try to make it disassembleable with magnets like the ACBA guys do with their dioramas.