If your not using mdf then you don't have much of a choice. It's getting harder and harder to find plywood that isn't pressure treated or coated in some way. That makes it very difficult to get paint to stick to it. You technically can go that route but your going to have a very thick coat of paint and I don't know about you, but when I paint things thick I end up makeing a lot of runs.
I sprayed mine and it actually wasn't that bad. I used a satin general purpose paint that caost about 1.50 a can. It took about 6-7 cans to do it.