I do wood because I am comfortable with it. If you have a background in that sort of thing, go for it. Foam would work, clay would work. A composite of materials would be fine too.
Wood/MDF or clay as mentioned are the usual choices. I've heard of using foam, but I think you would have to fiberglass it or something to prevent premature disintegration.
I saw that and thought the same thing, but in my recent attempts to make a mold while I wait on my vacuum forming parts to get in I found the really hard foam they use for walls sometimes to work well as if cuts/sands easily and is really durable. Someone (I forgot who) used this foam to build his tower in his back yard and I found some we had laying around it worked really well.