I made a bunch of terrain "modules" similar to the Dwarven Forge pieces using foam core. I printed a bunch of textures and floor grids, glued them to the foam core and hot glued the wall sections to the floor sections.
They're very sturdy, they look nice, and they were very, very cheap! Just took a few hours to cut and glue together.
I also cut a bunch of natural cavern modules from pink foam, using a hot wire cutter, and then painted them to look like stone.
Cut up some refrigerator magnets, glue them to the bottoms of all the pieces, and use them on a magnetic white board. Viola! No sliding around!