In my experience with fursuit heads, I've tried all foam, balaclava, and plastic canvas.
All foam:
Pros:
One step ahead from plastic canvas
Tighter, more "fitted"
Cons:
A bit more floppy, lacks "skeletal structure"
Balaclava:
Pros:
Easier to tweak jaw movements
Much easier to foam, as well as less foam used than on a plastic canvas
Cons:
Hot glue burns if you don't have a styrofoam head to glue on, and even then, sometimes the heads are smaller than your own, making some placements seem "off"
Plastic canvas:
Pros:
Sturdy structure
Cheap and effective
Cons:
Harder to shape certain areas
Moving jaw is a bit more complicated
More foam is required for shaping.
These are my experiences, however. Some others may tell you differently.
Hope this helps!