In reply to yeti:
Definitely 18mm ply-- apart from the obvious stability problems of 12 mm ply there is also the problem of the tee nuts sticking out on the climbing side. Flexing panels will need more structural work behind and stronger anchors to the supporting structure- it simply isn't worth the hassle. Don't even think about MDF!
Remember to batten out the ply from any solid way (so over long bolts can stick out at the back).
I strongly advise you to use small (12mm) screws to double fix any tee nuts from behind especially if you don't have easy access. It is very easy to lose tee nuts otherwise.
Budget for lots of tee nuts - I make ~70 per 8*4 ply board.
You should reinforce any anchors you use (eg bolt hangers) for belaying. Even if you don't intend to belay on the wall consider a line of bolts to the top if the top is out of easy reach (makes route setting easier).
As for holds you can manufacture a lot yourself from offcuts of ply - they work really well - you can texture with grip paint or sand and glue (get kiln dried sand or use a water soluble glue - PVA is ok but very slow to dry).