Although the cross-linked polyethylene I use is technically listed as more dense (and durable) than regular poly or EVA, the difference is pretty light. If you're getting raw sheets (smooth on both sides, with no heat-stamping), either will work well (I've built a Space Marine using 1/2" closed cell with no problems). If your foam
has been heat-stamped on one side, it will be more rigid and stronger than the same thickness of unstamped foam (and also harder to cut). Most bulk foam dealers don't sell heat-stamped pieces, but the Sears best-step mats with the diamond heat-stamp are used by a lot of people.
I'm not sure where you're located or are looking, but I've ordered my cross-linked from here:
http://www.foambymail.com/MC2-.html
They also sell a ton of other foam types, including regular closed-cell. I'm not saying there isn't cheaper to be found out there, but they've been really good to me and their stuff is high quality. I see other places suggested, I recommend these guys just because I've ordered from them probably a dozen times without problems.