My work bench top is made of two layers of MDF. It is heavy, and very stable. I also like that I have a sacrificial top that can be easily replaced if needed.
MDF is a god awful material to work with. I hate it, and detest working with it. Realize though, that MDF comes in different weights for the same sized sheet. Some can be the really cheesy stuff that crumbles apart, as Marshall pointed out, and some is very heavy duty, and a better alternative than a cheap plywood.
"The first thing you need to know, will likely be the last thing you learn." (Unknown)