Questions about FOAM and Foam Cutters

I was visiting a fantasy hobby store today and saw some foam that was used as a base for some figures, it was painted and looked really cool, wasn't styrofoam but something more dense and was cut using a hot wire cutter. Do any of you use this type of foam and if you do, what is it called and where the heck can you get it. Where would be a good place to get the hot wire foam cutters and is there anything else you would recomend?

Thanks