Check with your Building Inspector before using only MDF (without an outer layer of sheetrock) as a wall surface. Building codes have a fire resistance requirement (minimun time to penetration) for walls that wooden paneling may not comply with. As an example, in my state standard plywood paneling must be installed over at least 1/2 inch sheetrock.
MDF for walls in music listening room
It was suggested to me to use MDF for the walls in this room and either stain or paint them or cover them with dry wall. I know MDF is used in speaker cabinet design. Has any one here tried it for the walls of a music room or have any ideas of how it would affect the characteristics of the sound in the room? Thanks in advance.