Plywood is an interesting material: made up of many layers of thin wood plys, it can be built up into elegantly curved shapes. Do you need to limit it to just wood, though? [Zach of All Trades] has ...

I'd say go with #2. That's going to be your best bet unless you feel like springing for some bendy wood. You should be fine doing that though. Just as long as it's not supporting a lot of weight.