I would first seal the cement so that moisture is not a problem. There are some good silicon sealers that can do the trick.
If it was my situation, I would most definately use ply wood. it would adhere better to the cement. you could nail stuff it it. You can paint it, which you can certainly do with drywall, but ply will not chip and wear away.
If using ply, I would definately consider priming with a good oil primer the side of the ply facing the cement. This would be for added protection against mositure.