I went to Depot and picked up Crystallite (cheaper than the official Lexan)...was $25 for a very large piece 20x40? (1/8" thick)...but, when I asked the guy to cut it for me, he scored it, and put about a 6" crack on one of the edges.. Now, I still had half of the panel that was still good, but since the guy put a crack in the other side, and probably also because he was new and didn't give a crap, he gave the sheet to me for $5.
Drilling with a spade bit worked fine (don't use a rechargable drill, it'll take too long), and I'm glad I didn't pay $45 or more for the fancy stuff. See if you can pick up a scrap there and see for yourself.
p.s. It don't cut as easy as MDF. I wish everything did.