I've used Aircraft Spruce's foam - I think the Divinycell but it could have been another: http://www.aircrafts...us/cm/foam.html
It's a closed cell foam, quite buoyant and not very costly. It doesn't compress at recreational depths and can be easily shaped with simple woodworking tools.
At 3 or 6 lbs/cuft it doesn't take much to make a pretty good float.
Hope this helps,