I tried the 'sealer' method Fozzy suggested in the 'Painting MDF' thread, and that didn't work for me. Also, I don't need a smooth finish, and I'd rather play games than build cabinets.
There are two ways: the lazy way; and the really lazy way. Either of these gives a finely textured finish - AND REQUIRES NO SANDING. You
will need:
- paint
- primer (not needed for the 'really lazy way')
- foam roller and pan
- small brush, and maybe an edger
- can lid spout thing (these are wonderful)

Here's a piece of 1/2 MDF done with only two coats of paint (the really lazy way) :


Here's a piece of 1/2 MDF primed one coat, then painted three coats:


Take into account your environment. If it's really hot and dry, each coat will take maybe 20 minutes to dry and decently cure. If it's really cold and wet, a few hours to overnight may be necessary between each coat.