A 4'x8' sheet of MDF weighs over 100lbs, IIRC. Cutting it generates lots of dust. The dust contains formaldehyde, which is a carcinogen. That said, it's cheap and machines well. People like to think that it's easy to paint because it has a smooth surface. It sucks up paint (and wood glue!) like a sponge, however, so you'll have to take the time to prime and sand it.
MDF would be my last choice for building a cabinet. I don't like the weight, I don't like the lack of strength, I don't like the porosity, and I don't trust it's screw-holding ability.
My first choice would be Medium Density Overlay (MDO). My second choice would either be black melamine covered particle board or a decent plywood, depending on what I was doing. Melamine reduces finishing time (just slap on some artwork and you're done!), but is heavy and lacks strength. It also requires high-quality saw blades to avoid chipping the finish when you're cutting it. Plywood is light and is stronger than MDF or melamine. Finishing takes longer, though probably not much longer than priming and painting MDF.
Cost-wise, MDF is the cheapest thing you can buy. MDO and plywood are probably in the same ballpark. Melamine is somewhere in the middle.