I cut up a piece of hardie-backer, because I had it available.
Plywood will work depending on the distance and power of your gun. Plaster it with duct seal putty (~2$ each brick at Lowes or any hardware store, you will need about 10 depending on target size) and it will stop pellets silently.
Google "silent pellet trap" and there are a lot of variations. Pellets get stuck in the putty and don't bounce off. Bow targets can work too, but take up more space and the duct seal was cheaper. Rubber Mulch works too.
