Cheers Steve!
The foam I and most others use is basically insulation foam, XPS (extruded polystyrene). The stuff comes in different densities and colours and is available from home improvement stores in ginormous sheets and AK Interactive, among others, sell it in more manageable sizes. The lower density foam is great for terrain, and the higher density for making brick walls or cobblestone roads, for example. Each type takes a bit of getting used to as to how much detail they will hold, or how easy it is to shape.
Kimmo