I've seen quite a few DIY bulletin boards made out of Homasote like
this. I've never used it but I think you can paint it or cover it with fabric.
If you wanted to include dry erase/chalkboard squares,
RustOleum carries a bunch of specialty paints - chalkboard, dry erase, magnetic, etc. (I'm sure other brands do as well.) Then you could just add fabric for the other squares to add a pop of color.
As far as the frame, I'd probably use some kind of molding (like a door trim) cut to the size I needed. If you went with something simple I don't think it'd be that expensive.
Hmm, now that I've written it all out, I kind of want to try it...
