Michaels has felt & small boxes. Dollar General has cutting boards, baking utensils, etc. Woodcraft has 3mm Baltic birch & lots of other woods as well as finishing materials. Amazon for 12"x12" wood (scrollsaw wood) and cast acrylic in 1/8" & 1/4" and lots of colors. Also Tandy Leather for leather. I don’t do much MDF because the stuff at Lowes and Home Depot contain formaldehyde resins which are nasty & it makes a lot of fine dust that gets sucked into the exhaust. There are laser safe MDF supplies out there but I haven’t found any local.
MA is a big enough state. I have gone to highland hardwoods in NH (It’s a haul) and to The woodery which is much closer to me in Lunenburg…but that was for nice hardwoods. (http://www.wooderylumber.com)…They both however have nice ply (and exotic ply). You can call and see what they have. Both have huge selections of lumber and excellent customer service (Compared to the big box droids).