As most anything there are pros and cons to MDF, if you keep a few things in mind you will not have any problems.
1. MDF "volcanos" when nailed, it will not give for a nail. Wood will give and close back around a nail. This presents a problem when you spackle and paint, as these "volcanos" tend to show up. Make sure you fill nail holes and then block sand until flush, then reprime.
2. MDF has very little strength and will droop, you need to use more care to make sure that it is straight when installed, and nailed more often.
3. MDF will split very easly if you nail into the edge, as in doing window liners.
With a little care it paints out real nice, just remember to spackle, sand, reprime, repeat if needed...if you can see it in the wet primer it will show in the finish coat.