For some tips on how to make a substrate: https://youtu.be/FIXy652Zmrk

Personal preference....it would depend on the finished results that you would like. Each support adds a diferent texture. When objects are added to a piece of art, the weight of those objects would need to be considered. Masonite lends itself to any additional texture you'd like to add and a great support for any additional weight. Canvas is great anytime you chose to use any mixtures of paint. Wood provides a stable support but it is extremely absorbant. I suggest a couple of layers of Gesso.