Any material you find attractive, paneling, various wood products, soft or hard surfaces, almost anything you want. If you are unconcerned about a luxurious surface and opt for utilitarian usage, 3/8" or 1/2" plywood can offer an excellent surface, upon which you have every available space to mount wall hung storage products. If the walls are first painted, it will look more finished. A plywood surface will provide complete support for shelving, cabinets or most any racks you might use. The plywood in turn, offers an excellent base, upon which you can apply other wall covering products.

A while ago ago, I helped install a LQ, and on the knee wall we used pre finished Cherry flooring materials. The owner bought some close outs of tongue and groove manufactured wood flooring. They were inexpensive and we installed them horizontally on the vertical surface. His cost was less than $1 per sq/ft., and he has been positively commended for the final results on several occasions.

Look at the many photos in HTW for the new and used trailers. They can provide a variety of useable ideas.

I was wondering about using veneer -- like for kitchen cabinets? Just as a wall covering, obviously lacks the positives of plywood.... It would be lightweight though

Veneers are very thin, being sold with thicknesses of fractions of an inch. They have no structural stability and are commonly applied to a substantial wood backing for strength. They are used to provide an expensive look to a common wood species. They could be applied over a plywood wall surface, but you will find that their costs for an entire dressing room would be substantial.

Many people have used the bead board and the thin tongue and groove boards sold in the lumber yards. These products have enough rigidity to not need a backer board construction. You might also consider the higher end paneling that is plywood with various veneer facings.