In reply to Lyn:
Blocks of wood are vey cheap...
Use hardwood as its strong, hard, fine grain. MDF is good for edges too. But both need a bit of work and thought (and therefore time) to be effective. And may not be as sexy. Plus of course you can't get the range of interesting shapes. But it still beats vegging out in front of the TV.
If its on plywood you can also cut holes in the base board itself and put another piece of ply over the back to give pockets. Obviously need to sand the edges carefully!
I started my "wall" (it doesn't really deserve such a grand name) when F&T were selling off some holds at half price. Seemed like a good idea at the time but I soon realised that even at half price it still cost a fortune, so had to find another way.