I bought a pallet of OSB when it was cheaper per piece than a 12' 2x6. At today's price, I'd go with plywood. Two reasons, the plywood is better for hanging stuff, as
@7milesup says, the other is that plywood is way better for taking paint. I'm kinda depressed by the chipwood interior of my cave, I'd really like to brighten it up with a coat of light-spreading white paint. At the time I made my purchases, plywood was significantly more expensive. Now, not so much. Gypsum or hardiboard would be nice for the flame-retardancy, I tend to generate sparks out there.