If you're going to vacuum form plexiglass (acrylic), make sure you use extruded acrylic, not cast acrylic. Cast acrylic has a narrow range of temperature over which it is plastic.
I agree with rootoftwo that PETG is preferable for clear stuff. It's tougher than acrylic, and cheaper than polycarbonate (lexan). It also vacuum forms at a lower temperature, and over a wider range of temperature.
In my experience, plastics don't get all that much thinner when vacuum formed, at least as long as you heat them to the right temperature, and you don't push them too hard.