I prefer painting with a roller than spray personally, though it's more work than spraying. I used a roller on my
Canucks cockail cabinet a while ago, and came out with great results:

Though, not MDF, i've used this technique on MDF cabinets before with the same results. The key is to get a nice primed surface on it. The rest comes easy.
I'm not sure if oil-based paints are good for MDF, but I've always stuck to Latex which is less stinky and a bit easier to manage. Be sure to go one or the other! Don't mix your oil-base with latex, this is a recipe for disaster.
Get yourself some primer. Apply two or three coats of it, while sanding in between using some fine grit sandpaper. Be sure to get a few grades of fine-grit sandpaper -- I go with 100, 220, and 320. Some people have gone up to 1000.
Get a fine-grade foam roller, any hardware store will have it. Don't be scared to spend a bit more money for a quality roller.
Paint 2-4 coats of it, depending on your tastes, sand in-between. I used 100 grit for the first coat, 220 for the second, 320 for the third and last.
The sanding is for there for evening out the paint you've applied, smoothing the surface more. If you're meticulous, you can really get a nice smooth outcome.
Then, if you choose to, you can get a spray can of clear-coat to seal and protect the finish. A couple coats would do.
Do some searching on this forum, there are a lot of examples and instructions here that you can also refer to. But this is the method I generally use, and it seems to work pretty good.
