This was 3mm thick cardboard, it didn't stick very well at the ends.

Blotting paper sticks better but the heat makes it wrinkle and it leaves residue when peeled.

Funky foam, my wife's contribution, sticks too well, it gets welded in and can't be separated cleanly.

A thin sheet of HDPE cut from a milk bottle. As expected it welds and cannot be separated. It could be a useful technique though, you would have to cut round the extruded object but it would be left with a strong smooth base.

Felt adheres very well and can be peeled off again but you would end up with a slightly hairy object!

MDF adheres well and peels easily but it does leave some residue fibres on the filament.

Anti-static foam from semiconductor packaging. This insulated the filament so well that it stayed molten too long causing the ends to stretch away. It sticks well but leaves a residue and a rough surface.

Foam board works very well despite having a glossy finish. That allows the filament to be peeled off cleanly and gives it a nice smooth surface. With this quick test there was no sign of damage to the board either but Forrest has reported the foam inside can melt.

This seemed to work so well I tried upping the speed to 4mm / second and that worked fine as well.

So I should have taken Forrest's word for it and saved myself some time, but it got me thinking why does it work so well? For the filament to stick, it must remain molten long enough to bind with the surface. That means something with low specific heat capacity and low thermal conductivity should work better. Paper has a specific heat capacity that is about the same as HDPE but that is only 0.2mm thick and then you have foam which is a good insulator. I had been trying things with some surface texture for the HDPE to bind to so I was surprised when something glossy worked. I don't know what makes the foam board surface glossy, maybe it is a thin layer of of plastic that binds with the HDPE by melting itself. Or maybe there is some molecular bonding going on, out of my depth here!
The next thing to do is to tidy up the line endings by adding a delay at the start and reduce the dwell at the end. Then I should be able to draw accurate outlines and fill them in.
I have started to think ahead to the next layer and what the requirements are to make it stick to the layer below. My mental model, which may be wrong, of how the heat flow works is to translate temperature into voltage, heat flow into current, specific heat capacity as distributed capacitance and thermal conduction as electrical conductivity. The extruded filament is then an infinite number of small capacitors, charged to 200V, linked by resistors. That will meet a bigger infinity of capacitors linked by resistors charged to 20V (room temperature). When the filament meets the already extruded layer the two surfaces behave like two capacitors charged to different voltages being connected in parallel. What happens in electronics is that the total charge is preserved so V(C1+C2) = C1V1 + C2V2, i.e. V = (C1V1 + C2V2) / (C1+C2) . If the capacitors are equal then V = (V1 + V2) / 2.
That means, if my analogy holds, that when two surfaces meet the temperature at the infinitely thin junction instantaneously becomes the average temperature, weighted by their specific heat capacities. In our case these are equal because it is HDPE at 200°C meeting HDPE at 20°C. It is my belief the junction will be at 110°C to start with. Heat will flow to it from the neighboring material on the hot side and away from it on the cold side. Since its temperature is half way between the two then these flows will be equal. The junction will stay at 110°C and this band of 110°C will start to spread to the neighboring material on each side. However, to form a weld the junction must reach the melting point of HDPE which is 135°C. The only way for this to happen is for the nozzle to stay around long enough to continue to supply heat. That puts a limit on how fast filament can be laid down and still bond.
To be free of this limitation the average of the temperature of the filament and the temperature of the workpiece must be higher than the melting point. If that is the case then it will weld instantly and there is no limit on extrusion speed. For HDPE and room temperature that would mean extruding at 250°C. Anything below that requires additional heat to flow from the nozzle to form the weld and hence sets a limit on how fast it can move away.