I have used everything from bread knives to small limb saws to hot wire to a chain saw for the purposes of carving foam.  The chain saw was fun, and I think I'd do that again if I ever had the chance.  It did a nice job roughing in a rock wall, but its uses are limited.  For precise carving, it took me a long time to find the tool that was perfect for this job.  The Japanese saws did the trick.

 There are a few different kinds of Japanese saws.  The ones I'm familiar with are Kataba, Dozuki and Ryoba.  I suggest getting all three kinds to play with, but if you only buy one, the one I think is best for foam is the Kataba.

All three are kinds of blades that fit into a bamboo kind of handle.  They all have teeth that are incredibly sharp.  I once slipped when using one, just a little, and the teeth hit my thumbnail and I had two little puncture wounds through my nail, the exact size and shape of the teeth.  They bled like crazy.  The differences between the blades are somewhat subtle.  The Kataba has no spine, is relatively flexible and only has teeth on one side.  The Dozuki is like the Kataba, but has a spine which makes the blade more rigid.  The Ryoba is like the Kataba, but has teeth on both sides of the blade.  This one I actually find a little scary, because of my experience with getting wounded.

 There are traditional Japanese carpenters, even in the theater world, who will only use these saws in carpentry.  I've never seen one of these carpenters in action, but worked with someone who did, and said they actually weren't much slower than people using power tools, and the quality of craft was much higher.  The precision cutting these saws are capable of performing is amazing, and the cleanness of the cut just doesn't happen with a power tool.  An advantage I see for use in woodworking in our scene shops is for particularly deep wood cuts, like when you need to cut a big angle in that huge cornice molding you just pulled from storage.  I also hear that they are the easiest, most precise tool for complex joints, like dovetails, once you get the hang of it, but I have never personally tried it.

There is version of these saws that folds instead of snapping into the bamboo handle.  I've never tried them.  The bamboo handle style is so comfortable to use, that I'm not sure I ever will try the folding version.  The bamboo version seems to costs more.

The first time I used one of these, I was absolutely shocked at how smoothly it moved through the foam.  (As smooth as butter on the head of a bald monkey... seriously.)  I used them to carve a 12 foot long fully dimensional paintbrush for an exhibit in the Philadelphia Flower Show.  I think there's still a picture of that up on the Campbell Studios site, a company I have worked for periodically that does some theater and a lot of really fantastic events work.  The clean cut I was able to achieve saved me tons of time later, when I usually would have had tons of sanding to do to smooth the surface.  I only had to sand enough to smooth over some tiny corners that were left because the knife doesn't quite cut rounded surfaces perfectly.  I seriously could not believe I had been carving foam for so long and not discovered this tool.

 So, if you carve foam, or plan on carving foam even somewhat regularly, I highly recommend you invest in this tool.

Here are links for two versions of each of the saws. The first version is the more expensive one, that makes me drool. The second is the cheapest version of the saw carried by Amazon that I would still consider purchasing.

Kataba
 

Dozuki
 

Ryoba
 

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