Plexiglass is a brand name for acrylic, and there are two common types - extruded and cast. Generally, cast is best for the kind of stuff we do, as it has better machining properties and a higher melting point. Here's where I get mine, in sheet and rod: Delvies Plastics. These yoyos are made from 2" diameter cast rod.
Ed, Now you are just showing off
it will machine better in some ways than others. for example a band saw works better than a scroll saw to cut. routing a groove will be harder than say shaping an edge. Basically anything that brings the chips back into the cut will cause them to melt and simply turn solid again. making several passes helps but it is still frustrating. Just do everything you can to get the chips out of the way.