Insulation foam is great for rocks, might be a little thick and out of scale to use for mini dioramas/scenery for the average wall. Unless you are doing a great castle wall or something...
I, as many others, like foamboard. It is 2 pieces of paper sandwiching a foam core between them. Comes in widths anywhere from about 1/8\" to 1/2\". You can get it from some office supply stores, Office Depot, Grand and Toy, or most craft/art/hobby shops, Wallacks, Michaels are some local names. Typically I\'ll only be able to find 1/4\" and 3/8\" in stock, which is fine cause that\'s all I\'d want anyway.
Anyway, it\'s great stuff, much more rigid than it sounds, cuts with scissors or a scalpel/hobby knife easily and can be glued or taped. The only danger/problem is that the foam melts like all other foam, so you have to tape the exposed ends if you wanna spray paint it or use anything that would melt any other foam. It\'s fairly cheap too, I think last I bought it, I got 1/4\" 3x4 foot sheet for $5 Canadian at Wallacks? Something like that anyway.
Cheers.