Be careful with Lexan and most variants of plexiglass; if you leave the grease markings on it long enough, it will begin to eat into the material, and that's definitely not something you want, especially with an illuminated board.
Have a look over at Instructables for ideas and designs, they might give you some intuition on how you want to build your own:
http://www.instructables.com/tag/?sort= ... whiteboard
Your idea about illuminating the board is neat. Personally, I think it would be cool to do the same thing using highlighter as the marker, and UV light as the source of illumination. The UV light would make the highlighter glow.
For sources of plexiglass and Lexan and such, I typically find mine at Home Depot every now and then, and sometimes even Princess Auto. They used to sell huge 2m x 2m sheets of thick plexiglass as "Rear-projection TV screen protectors", but I don't think they have them anymore.