David: Now I use MDF all the time. These sheets of finely ground, highly compressed wood fibers, bound with resins and glue, are great for painting because they're so smooth and dimensionally stable. With particleboard, the wood chips are visible and the surfaces are anything but paintgrade. MDF also routs and cuts cleanly without chipping, and it's cheap-about a third the price of plywood. This stuff is dense, about 50 percent heavier than plywood, but it's not meant to be a structural material. When strength is important, I stick with plywood or solid lumber.
Suck It Up
MDF produces an extremely fine dust when it's cut, and the formaldehyde-based glue that typically holds it together isn't something you want to breathe. That's why when I work with MDF in my shop I keep a dust collection system on my tools and a respirator and goggles on my face. On job sites, I'll get a helper to hold the nozzle of a shop vac near the working blade or bit to capture the dust.
How-to-Checklist
Store MDF off the ground and away from moisture. Flat is best, if you have the room and can support the sheets underneath so they won't bend; but I don't have that kind of space, so I store mine on edge.
Cut it with carbide-tipped saw blade and router bits, which hold up to this dense material. Titanium-coated drill bits last longer than ones made of high-speed steel.
Sand it? Don't bother; MDF is already smooth enough to paint.
Prime it on all faces and edges using a solvent-based primer, then paint it with at least two top coats.
Fasten it with coarse-thread drywall screws, the longer the better. Use nails only where strength is not important, such as moldings.
Glue it with yellow carpenter's wood glue-polyurethane is overkill. Screws and glue together make the strongest joints.
USE it to make fireplace mantels, wainscoting panels, bookcase shelves, workable tops. And because MDF is so dimensionally stable, it's ideal for templates, patterns, and jigs.

Before driving a screw in MDF, always drill a pilot hole 1/16-inch narrower than the screw's shank. Pilot holes prevent the material from cracking and allow the screwhead to sink below the surface.

Source: This Old House magazine, No.105