Can any foam be used or only foam specifically designed for embroidery and why would I use Puffy Foam instead of other foam?

Puffy Foam perforates cleaner, allowing it to tear away more easily because it was specifically made to be used on home sewing machines for embroidery, applique and decorative satin stitches. (It is a much higher quality than "craft foam", which can leave nasty bits and pieces of foam inside your machine).