SOME MATERIALS. (UK details only - not applicatble to other countries)

MDF Is expensive, heavy, but very rigid. comes in various thicknesses and because of it's rigidity the thick versions will not need supporting laths. Gives a lovely smooth edge when cut with a power jig-saw.

However if cutting sheets of MDF please wear a mask as the dust is dangerous. In fact many Technical Colleges ban the use of MDF in their carpentry sessions for that reason.

4 MM PLYWOOD. Edges have to be well sanded down. Fairly rigid but will need supports at the back. For supports I use 2"x1" sawn timber (often called roofing laths as they are used to hold tiles onto roofs) Use gloves when carrying - prone to splinters

HARDBOARD. Cheapest of these three alternatives. Surprisingly heavy but still needs supports at the back. I use the bobbly side on which to paint. The smooth side is too "oily" for me. Lay your sheets of hardboard down on the floor, touching each other in a series of tiles and seal them all at the same time. Only after they have been sealed and dried do you attach them to a frame and paint them. If you attach them to a frame and painting them before sealing they will warp.

CARDBOARD Cheap - but hard to get hold of in large sheets - unless you are lucky enough to have a papermill nearby. It can be fairly rigid but bends along it's "grain" easily so needs a frame support. To attach I use large headed roofing felt nails. Don't hammer these in too deep, as it will leave in-dentations that show even more under the top stage lights.You might consider covering with scrim or canvas to alleviate this problem. Use your paint as dry as possible. With cardboard made from a sand-wich of thin board either side of a corrugated sheet, the corrugations show through if your paint is too "wet" when applied.
Unsupported edges are easily damaged. Can be torn off the supports if badly handled.