I am in the process of finishing my MDF cabinet and here's what I did (against the advice of others here, I guess):
1. Sanded the MDF with 600 grit sandpaper
2. Applied 3 coats of oil-based white primer (sanding with 220 grit in between coats and waiting minimum 24 hours for each to dry fully)
3. Applied 4 coats of latex top coat (sanding with 220 grit in between coats and waiting minimum 24 hours for each to dry fully)
4. Applied 15 coats of spray on lacquer (no sanding in between and only waiting 20-30 minutes between coats)
5. Wet sanded with 1500 grit sandpaper
6. Apply 6 coats of automotive rubbing/cutting compound
7. Apply 4 coats of automotive polish
It takes FOREVER but the results are an unbelievable piano-like finish. I followed
THIS guide to achieve the results. I wish I could post a picture that adequately shows it off but so far I'm not having any luck with my digital camera. Here's the before and after pics of the example I followed (speakers):

Amazing!