Home depot is as good a place as any. Lowes and Menards carry similar brands. Home Depot carries Owens Corning FOAMULAR which is an excellent material for scenery building. Extruded Polystyrene Insulation usually comes in pink, blue or greenish 4x8 sheets (now in purple as well). Products with a higher R value will be denser. Owens Corning products used to be pink, hence the Pink Panther as a logo.
To avoid crumbly foam avoid the color white.
Personally I never buy the stuff, I just scavenge construction sites and theaters. Tons of it is thrown away every week in those industries. Just go by and ask if they are throwing any away. Not asking is generally frowned upon.