Just came across this post, Brian. Sorry for the late reply.I would go with MDF. I built a desk with MDF and it is as strong as can be. The Kreg joints are very strong in this material too. There are several articles in older Workbench magazines for closet organizers made primarily with MDF. They are faced with poplar and the cores are MDF. I would shy away from particle board. Have you ever noticed that those $30 furniture kits from Walmarts and Targets are particle board. Nice initially, but they just don't last. Additionally, MDF accepts gel/poly stain and paint with good results.
I think you would be so much happier using baltic birch ply as it will remain stable and last a lifetime. If you are absolutely set on the particle board look, then I would go with MDF for sure. use course thread and glue for best results.
I have to agree with steve. a closet system is something that needs strength and be able to last. I would definitely spend the extra 10-20$ a sheet for birch ply and do it right. Gives you more finishing options as well. You don't want an unfinished shelving system in my opinion. Unfinished means dusty in my book. A nice painted or poly finish is nice and smooth and easy to maintain. Particle board under that load will not last and MDF in my opinion is only a little stronger no matter what the DIY shows say!
Particle board is for lighting the fire, MDF is better but keep it away from water.
Kreg pocket hole screws will hold in both items of material just as effectivley.
The type of material is your choice, and I see from below there have been many many suggestions.
The water issue is a major concern with both products, so keep it in mind mant a kitchen has been ruined by water and I am at a loss as to why these products are still being used there.
Both products especially MDF produce toxic dust when cut, beware.
Partical board as the name implies contains particles and its not just wood chips, either tungsten blades are a must here.
both are a breeze to route/saw as neither have grain, partical board will require end grain filling or some other finishing.