One of the "practical" problems with using real wood is the fact that it can expand and warp (flex) due to changes in humidity, heat, age, etc...so it can be a nusance. Thats about the only
real problem not counting "type x wood sounds better then type y".
I like Liquid Nails for the glue, because its fairly cheap for a large container and its pretty freaking strong. Plus it has a low enough intial vicosity that it won't run, and can kind of hold things in place, but can still be moved around for about 20-30 minutes. Plus a caulk gun is convienent.
MDF is nice because its easy to work with. It has no grain, so you can cut any direction in it, plus it cheap. Its now about $20 per 4'x8'x0.75" sheet at Home Depot/Loewes (was $15 for the longest time, but the Hurricances I guess affect that). Plus MDF is just basically made from sawdust/glue slurry it doesn't have any void or cracks in it like particle board and plywood can. Just remember that sawdust part...cause it will be everywhere