MDF is easy to work with, commonly available, and relatively cheap. it’ll work for many applications but isn’t that durable. one benefit is that the surface will probably be very flat. MDF also paints pretty well, or you can cover it with melamine or similar for a countertop effect. a prime disadvantage is that it’s susceptible to sagging and degrading with exposure to humidity/water and over time. there’s also some risk of off gassing, since the wood is bonded together with something that includes formaldehyde. personally, i wouldn’t use it for a desk. it’s perfectly fine for lots of things, though. i used it for the top of a 3’ x 6’ rolling assemble table/work bench in my basement wood shop.
if you’re just starting out, i’d recommend using baltic birch plywood. it looks nice, is dense, is also readily available and not too expensive, and will be durable over the long run. baltic birch ply has contiguous plies of wood for each one, whereas regular plywood has voids and won’t look as nice.
if you’re more experienced with woodworking or have the tools/time/inclination, you could do something fancier with hardwoods, like oak or maple. i have some future plans/sketches for a small writing desk in either oak or cherry that i might start sometime soon. have to finish a small chest of drawers and a bureau first, though. it’s just a matter of making the time.