Welcome to the forum. WD makes a solid case for solid timber, but if it is MDF you want, then keep asking as someone from WA will be able to tell you.
Shane is a good woodworker & I am sure he feels he has given you good advise, but there is room in My shed for MDF, infact, I bought 15 sheets of it the other day. I will be making cupboards for my shed so I can give a lot of gear on the floor a new home. The kids may not fight over them when I kick the bucket, but they will be quick & Easyto make, cheap to build @ $20 / sheet & my shed will be better for the time & money spent.
Other materials may have been better, but as I said, $20 ea for 16 & 18mm sheets, MDF will do me.
Maybe if you let us know what you plan to have a go at, somebody may offer an Idea that may be cheaper than MDF if price was your main consideration, but as I said before, if it is MDF you want, stick to your guns & some one will help.
Failing that, look for a manufacturing company that uses heaps of MDF & see if you can buy some coversheets.
The fact remains, that 97% of all statistics are made up, yet 87% of the population think they are real.