I started off with an open-back frame from Hobby Lobby and a piece of MDF Justin cut to size for me. First, I applied 5 or 6 coats (I lost count) of magnetic primer. I read a bunch of the primer's reviews before starting and knew it was best to apply several thin coats to ensure the magnets would stick. We also purchased rare earth magnets, which are stronger than typical magnets. With taking those precautions, we haven't had any problems with the magnets sticking and holding paper. My only problem with the primer is that it creates a bumpy surface. Justin sanded it down some, but it's still not perfect.
After the primer, I put on 2 coats of chalkboard paint. While it's still slightly bumpy from the primer, the chalk still works, but it's nearly impossible to draw a straight line! But for our purposes, it doesn't really matter.
Because the board is on our pantry door, the chalk would fall off if we just set it on the frame. So instead, I purchased a votive holder from CB2 to serve as a chalk holder. (I was originally hoping to use a chalkboard pen to avoid dust, but after testing it out, it didn't erase completely.)
It's nice to have a handy place to jot down reminders and notes, and keep invitations and other things in view.