I got a 4 foot by 8 foot sheet of foam insulation board for less than $10, and covered it with a white flannel sheet. It's light and easy to move around. Also easy to pin things on. I have a much smaller one too. Table top size. The foam sheets come in lots of sizes, and are also easy to cut to any size I want. I can duct tape a couple together for a super big design wall too.
I also tried a flannel-backed table cloth tacked to the wall. That works, and is easy to store, but the blocks had to be pinned on. I liked that I could roll it up and store it with the blocks still attached.