I'll confess to never having progressed much beyond a piece of MDF that I screw things down to. I never even surfaced the MDF. The piece that is currently on there is out about .005-.006 from one corner to the other. For most of what I do this is fine, but when I need more accuracy in the Z direction I screw down another smaller piece of MDF on top of the main spoilboard and surface that. I screw this down with brass screws sunk fairly deep. That way if I do accidentally hit one it hopefully won't damage the bit. (I actually hit a steel screw head once and milled right though it before I could even get to the e-stop. Luckily the bit was fine.)
I often quickly fabricate some clamping blocks out of 3/4" square oak stock, and screw those down directly to the spoilboard. Usually it is a pretty primitive looking setup.
Every once in a while I'll carefully go over the spoilboard with a sharp wood chisel to take down any raised areas on the MDF around screw holes. I've gone through a couple of spoilboards at this point.
For bits I've got a 1/4" carbide upspiral for wood (Diablo from Home Depot). I use this for nearly everything that isn't metal and find it to work really well. It has lots of hours on it at this point. I have a selection of solid carbide end mills that I use for aluminum. Generic grind that is probably intended for steel, but they seem to work fine on the non-ferrous. Picked them up on ebay for about $4 or less each, figuring I could think of them as disposable, but they have been holding up really well so far. A few 2 flute, a few 4 flute, a 2 flute ball end, and a 1/8" 2 flute with a 1/4" shank. Sometimes I'll use the ball end on hardwood, with good results.