Most people seem to use MDF. Don't ask me why! The stuff is super-heavy, not particularly rigid, and nobody seems to take advantage of it's best feature: the ability to route smooth profiles anywhere in it.
My favorite material is medium-density overlay (MDO). This stuff is plywood, with a thin layer of MDF on each side. It's light and rigid like plywood, holds screws well, and the MDF face makes it easy to paint. It costs more than cheap plywood, but less than a furniture-grade hardwood (oak, maple, etc) plywood. I think in my area it's $45-55/sheet. For comparison, birch plywood is $35-40/sheet and hardwood plywood starts at $60/sheet and goes up to $120+/sheet for the really nice stuff! MDO isn't available at available at your local home center (Home Depot, Lowe's, etc). Usually, it's a special-order item at a real lumber yard.
If you've got access to good woodworking tools and don't want to paint, melamine-covered particle board might be an option. It has many of the same downsides as MDF, but the melamine surface means you don't need (or want) to paint. It comes in white, black, almond, and a number of wood-grain patterns. White, black, and almond are commonly stocked at decent lumber yards; the wood-grain patterns are usually a special-order item. I think I typically pay around $35/sheet for 3/4" thick black.