MDO is great, but the smooth layer is not "waterproof" as a previous poster stated. It is essentially a high-grade plywood with a bonded MDF-like layer on one, or both sides. It is used by sign makers (my dad used it extensively in the biz), but the same preparations for outdoor use still need to be done. Priming and fully sealing all exposed surfaces is a must in this type of application.
The major drawback to MDO is price and availability. It's probably about $80 for a sheet of 3/4. Due to the high cost, it's a very specialized market, which means not too many places carry it.
MDF makes for great panels, and cabinets as well, so long as proper assembly techniques are used. Never try to screw directly into an edge, or make cuts which leave small and unsupported features. Other than that, and perhaps a little more weight (usually a good thing for a free-standing unit) there's not much advantage in using MDO or plywood over MDF, and MDF has a number of advantages over these materials.