|Synonyms:||medium density fiberboard;|
DE: mitteldichte Faserplatte
|Suggested Tools:||laser cutter, saws|
|Contains:||wood pulp, binder|
|Similar (More or Less):||HDF|
MDF (medium density fiberboard) is an engineered wood material which can be compared with very thick and dense cardboard. You may know it from the back panel in many shelves.
HDF is even more dense.
We've seen glue-free kraftplex at Makerfaire Hannover which may be a nice "green" alternative to MDF.
There is a colored type of MDF which is supposed to be stronger and waterproof, marketed e.g. as "Valchromat" (massegefärbte MDF).
PVA, "extramite" and polyurethane glues all reportedly work with MDF. However, you may want to cover both surfaces to cope with the soaking ability of this material. 
Because of its porous surface, especially at the edges, MDF will suck up most of your color inside. You can easily waste a whole spray can without getting it colorized properly. In the worst case the boards will also start to bend because of the moisture. Therefore you need special primer that can close the pores, "MDF-Grund" for example. It is recommended to combine it with paint from the same brand afterwards.
Supposedly, regular wall paint also contains thick enough particles to close MDF pores and is cheaper than special primer. Let us know if you have tried and can confirm this!
You might also like to dive into this Instructable comparing 9 different ways to paint MDF before you decide which technique you'll use.