I used MDF for my control panel (which was stand-alone for the better part of a year), and switched to plywood for the cab. All the dust from working with the MDF drove me nuts (insert pirate-with-a-steering-wheel-in-his-pants joke here), and weight was also a contributing factor. The plywood (after digging through the stacks for flat sheets, which was neither easy nor fun) worked out quite well, and I'm happy with the build.
Easy decision in my case, since all my exterior surfaces were to be laminated, so I didn't care about if the ply surface was on the rough side. For a painted surface, I can certainly see going with MDF instead.