Maple is stain-able but can be very splotchy. A conditioner helps give a more even look.
Birch and other "Finnish" plywood is finish ready. (pun) Most home store hardwood lumber is ready for paint although a quick rub down with 180 or 220 wouldn't hurt things, and would be a good idea before staining.
Nobody's mentioned the sagulator . If you don't want your shelves to sag, use it. Read all the instructions.
You can make it out of solid titanium and it will still sag and fall apart if you didn't get the structural design right.
Maple is not the best choice for stain--it tends to blotch unless you use a pretreatement on it.
For a finish take a look at ML Campbell Magnamax precatalyzed lacquer. Comes clear or you can get it in opaque colors. Really good stuff.
As for MDF, the only _real_ problem is has is that the edges need to be protected or they get bunged up easily. It works fine if you understand it. Take a look in any Scandinavian furniture store and you'll find some rather expensive items made out of veneered MDF with solid edging.. Got a Danish bed in 1979. Other than one spot where I managed to mangle the veneer, it still looks pretty much like it did when I got it. No swelling, no sagging, none of the other horrible things that MDF is supposed to do.
Reasonably so. The finished paint job can be no better than the surface to which it is applied (without MASSIVE amounts of work) so the wood should be free of dings and the like. Use a primer that will sand reasonably well - many don't, Zinsser 1-2-3 does - and sand IT baby butt smooth.
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