MDF is cheap, the pink foam from the big box store works reasonably well. Start with either foam or wood, and graduate up to aluminum, plastics, carbon fiber etc.
One thing I've noticed with MDF is my bits tend to dull faster. I'm guessing this is because of the glue compound. Think of it like the same reason you never run a board with paint on it through your planer unless you like sharpening blades. Look on craigslist for wood deals, I managed to snag up 500+ square foot of solid oak flooring for $50. Run it through the table saw, glue it, and let the CNC surface flat and engrave.