All three have their place and there are dozens of other materials that could be used as well.
MDF is generally frowned upon since it is basically compressed sawdust with a thin veneer glued to its surfaces, but from a purely utilitarian point of view it can be perfectly serviceable for a bed that is being used for only a year or two or three.
For heirloom quality furniture, none of the three materials asked about in this question would be suitable.
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