I have done a fair bit of work with twin wall Lexan, Plexiglas, and Coroplast and have a few tips to pass on.
Lexan, which is polycarbonate is pricey but "unbreakable" (Won't shatter) and comes in solid and multiwall sheets. In solid sheets it is used as bullet proof glass. It scratches a bit more easily than Plexiaglas (acrylic) but can be polished back if the scratches are not too bad. You can get it with a Teflon coating to reduce scratching. Multiwall lexan can be worked like coroplast. It comes crystal clear and in some solid colours.
Plexiglas is acrylic and comes in solid and multiwall sheets. It can be worked with sharp tools and cut on a table saw with a sharp blade and eye protection but go slowly because it can shatter from heat build up or extreme pressure near the tool Drills for plexiglas have 90 degree rake angles so they don't dig in and cause those nasty cracks. You can modify your own with an bench grinder. Comes in clear and many colours.
Coroplast is a trade name for twin wall polypropylene copolymer.
Coroplast - The Leading Manufacturer of Corrugated Plastic
It is used for a ton of things like signs, packaging ecomodding etc. It cuts easily, is flexible and comes in a rainbow of colours. It is probably the cheapest of the multiwall plastics.
All of these come in a a variety of thicknesses.
For twinwall and thin plastics Use a sharp knife like an Olfa or similar with the snap off blades.
Use the larger blades, the smaller ones can snap easily.
Always cut towards your shipmates.
To really clean up and straighten an edge when making cuts with the "grain" use a sharp
wood plane. and clamp the piece to a board to hold it steady. A jack plane works best (Stanley #5, 14" long) but a smoothing plane works too. (Stanley #3 or #4, 9-11" long
The shorter hand planes tend to follow the bumps. If you have used a straight edge this shouldn't be a problem.
The plane can also be used to round over sharp edges so you don't cut yourself.
Home Depot and Rona carry "Coroplast" in 4X8 sheets Rona has more colour choices though. Sign shops may sell you some as they work with it all the time.
You can also look under plastics in the yellow pages for suppliers. Phone around for pricing because it can vary. Fax in a few professional looking requests for a quote if you have a fax machine. This lets them know they have competition for your business. They also might sell wholesale to you.
Hope this helps.