Anything with a texture runs the risk of 'catching' overspray. And makes some techniques more difficult. As for what is best, that is all down to individual preference, and sometimes cost. Some surfaces can be pretty expensive. (It usually works out cheaper to buy large sheets and cut down to different sizes)
The glossier, the easier it is for paint to spider, however it doesn't take much to adjust to, it makes erasing etc easier, but can also be more easily damaged, and need a protective top coat (many people do this for a variety of surfaces anyway) matt surfaces tend to be more absorbent, and the hit pressed kind is usually preferred as Airbrush dreams said. Foam core can have other issues in that if you want to draw on it directly, or use masking etc, it can dent and leave marks. Thin aluminium panels are easy to store and if you are happy with prepping them are could.