Painting MDF has to be one of the easiest things around. I'm not sure why it is bothering so many people. MDF is nice and flat, and requires very little prep work compared to other timbers.
I personally don't use spray equipment because I find I spend most of my time preparing the gear and then cleaning up. Plus as mentioned, you need to wear proper safety equipment, which bugs me too much to bother.
A roller works just fine. Short pile mohair rollers are best for gloss. Long pile rollers work well on satins and flats if you want that slightly textured appearance.
Don't use a brush unless you 100% have to (tight spaces, etc). I find even the best brushes leave undesireable results compared to rollers and spray equipment.
As for the actual painting:
Step 1: Decide what colour and finish (flat, satin, gloss, high gloss) you want. No, really. So many people by satin finish and complain it isn't shiny enough or too shiny. Buying the right type of paint is just as important as the colour!
Step 2: Find out what types of paints (water, oil, plastics, etc) your colour is available in, which leads to...
Step 3: Find out what primer you need as an undercoat. Any paint you buy will have a guide on the tin ("can" for the US readers) that will recommend a particular undercoat. Water cleanup is by far the easiest. You shouldn't have to venture far outside of water-cleanup paints unless you need a nice high-gloss black, or other dark colour.
With primer and paint purchased, on to the following...
Step 4: Prime. One coat, nice and thin. Better two thin coats than one thick one. Sand between in you are after super smooth results, although it's not necessary if you are semi-competant and don't go leaving big gobs of paint everywhere. I generally apply one undercoat on MDF; more if the timber I'm working with is particularly thirsty.
Step 5: Light sand, and then top coat. Again, thin coats are better. They dry better - no bubbles or wet beads.
Repeat step 5 until you are happy. With some paints, you'll get away with 2 coats. Some need 4 or more. For gloss freaks, don't be afraid to put half a dozen on to get it just right, with VERY fine and even sanding in between. Make sure there's no sanding dust or other particles on the surface pre-painting. Anything that you paint over will stand out like a sore thumb.
Here's my cab using 85% gloss enamel, applied with a roller. Just 2 coats and this baby was just peachy.
http://benchmark.mameworld.net/cab1/Sure a spray would have given a much glossier finish, but I'm happy with the results considering the little effort (and cost) involved.