MDF is pretty good. I prefer blue board since we can't get pink board here, but each has its purposes and MDF is slightly better for miniatures gaming.

On the issue of exposed plaster, there's a couple of ways to solve it. I use dark grey MM and a spray can of water-based Krylon that won't erode blue foam- although any appropriately colored plaster will do. You can also get colored Excalibur, and I'm sure there's a few other exotic plasters out there as well.