Wood:
The heaviest of your 3 choices, and probably the middle in cost. Wood will require the most effort to cut, and probably the most finishing. On the good side it won't warp when you paint it. The weight of the buildings could be an issue if you store it with more delicate terrain pieces.
Foamboard:
Cheap and easy to cut. You trim it up and add details work using thick card as well. You'll need to care when coating/painting it so that it does not warp or bubble up. The cheap cost of materials means this is a good way to learn or practice skills. The buildings will be lightweight but only semi-resistant to damage.
Plasticard/Styrene:
The most expensive option and will probably yield the best looking finished product. Take care of it though as its cost means it's not as easily replaced as similar peices you'd make out of foam board.
In summary, I'd say go with foam board. You can get it in different thickness, use card stock or cardboard for the trim bits (corners, trim around doors/ windows). As the cheapest and easiest to use material, it's the best suited to learning how to make terrain with. The pieces may not stand up to long years of hard use, but hey, you only spent a few dollar to make them!
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