Here in Houston I go to Allied Plastics (http://www.alliedplastic.org/ourlocations.cgi) and Regal Plastics. (http://www.regal-plastics.com/contact-us.html). To find a supplier near you Google coroplast or corrugated plastic with your city. (Coroplast company website)
Plywood can be purchased as Lowes or Home Depot. It’s best to buy 4′ x 8′ sheets to save money. If you live in an area where homes are being built you may be able to use the scrap materials.
Insulation foam is also a Lowes and Home Depot item. Lowes sells the blue foam and Home Depot sells the pink foam.
Wood Water Sealer
There are many water sealers on the market. If you can find a low to 0 VOC version that would be best. However, most water sealers will be safe for the cats as long as you let it dry per the instructions.