The latest issue of Polymer Arts magazine just had an article on that very topic - foundations for wall hangings! It was pretty informative.
I like canvasboard, myself, for painting on with clay. I've only done two very small projects, so I dont' consider myself an expert, but it did work fine. I've also used just a sheet of clay for a base, but it tends to warp if it is at all thin.
I've made a couple of wall-clocks, and both times used clay in thick sheets with wire mesh between the layers. I have a step-through project page here: http://gilladianpolyclay.pbworks.com/w/page/42387851/The%20Blue%20Clock where you can see the mesh and the base clay.