We use this stuff:
http://www.piedmontplastics.com/land...ate-sheet.aspx
It's often called "twin-wall" or corrugated polycarbonate. I believe McMaster sells it but I'm not sure what variety they have. We typically aim for a thickness between 1/4th and 1/8th. Anything less than an 1/8th can be too flexible.
It's lightweight and reasonably priced from our local vendors. It's also easily machined... and by machined, I mean you can drill holes into it or cut it with a knife/razor. I highly suggest learning how to cut it and mount it to take advantage of it's inherit perpendicular strength (perpendicular to the inner walls that is).
We've been very happy with it over the years.