The density of the MDF plays a big part MdF = "Medium Density Fibreboard" However this can vary. The higher density board takes stain quite well, if it is prepared and sanded down to about 360g. Use a pigment stain, not a spirit stain and wipe it on and wipe it of. You can also condition the board by giving it a coat of shellac prior to staining,. If it is only small pieces, the average person wouldn't know it was MDF, however as others have said, larger pieces do not have the grain variation of timber.