When contemplating the purchase of baseboards in the past, typically you only had one choice: wood. With the advent of plastic and medium-density fiberboard (MDF) baseboards, consumers suddenly had more choices that were lighter and cheaper.
Fiberboard: The Worst Possible Choice?
The problem with MDF as a general building material is that it is not structurally sound on its own. Only when coupled with another material does MDF achieve minimal standards.
Laminate flooring provides a perfect analogy to MDF baseboards. Its fiberboard base (similar to MDF) is likely the worst possible choice for a flooring material--on its own. Yet when paired with a wear layer and when tightly seamed, fiberboard can provide a suitable flooring surface for many years.
MDF as a baseboard does have its flaws.
Moisture: MDF does not take well to moisture.
As for lumber, even though it does have a grain and can split, I find it easier to work with than MDF. It's "real wood," and it doesn't crumble like MDF does. Baseboard edges are less susceptible to chipping when things hit them. It's a much more forgiving material than MDF is.
If price is an obstacle for you, then I don't see anything wrong with using MDF for trim work. It's so heavily primed and painted that moisture doesn't affect it (it will probably come primed). And it's nailed down so thoroughly that warping isn't an issue--not to mention, you're not using it for structural purposes anyway.