Ha, I didn't even know BRIO had a construction set. We have the BRIO train and lots of LEGO here, but that somehow never crossed my radar. Now I kind of have to get one :)
For a bigger pegboard, I'd almost certainly go the plywood route, ideally with access to a CNC drill or a laser cutter through some community workshop. The hole precision mattered more than I expected, and getting a whole board right with a handheld drill was surprisingly tedious.
I bought a Bambu A1 Mini to replace an Ender 3, thinking it would just be for occasional printing. I wanted something smaller and better looking. The opposite happened: the process got so much easier that I now regret not getting something bigger, maybe even with AMS.
So while I can't compare the whole market, I can definitely say the jump in ease of use was huge.
Prusa printers are great too, especially if you care about supporting a company that invested heavily in open source. I found them harder to justify on price, but I also understand why people choose them for that reason.
There have also been pretty public disputes around Bambu's use of open-source work from the Prusa/Slic3r ecosystem, so that is part of the decision too.
I used oak plywood, and it has held up well so far, including in our kitchen. You do get the occasional tiny splinter, but nothing serious.
The main trick for getting clean holes, especially on the back side, is to drill into a sacrificial board so the exit side stays supported.
If helpful, here's a close-up photo: <https://files.virpo.sk/pegboard.jpg>