I generally use 6mm board. I don't prime it or Gesso the surface because I prefer it in its natural state. I should say that MDF seems to be different around the world because some folk have told me that the MDF they have has a wax-like finish on the surface.
The MDF I purchase in Australia doesn't have that wax finish, its actually got a nice tooth which the paint sticks to perfectly...
I have no idea how oils would work with it but I suspect you would need to prime it first which would in my opinion take away the most important characteristic - the golden color of the board especially when the finished painting is varnished.
Moisture and humidity. The board certainly holds up to washes and light applications of water but I wouldn't go overboard. During the summer months here its especially hot and humid (110degrees with 80-90% humidity) and the board isn't effected in the least. Actually, I find the Prismacolor pencils with their wax base are effected the most simply because they go quite soft in the heat.
Obviously, all of these observations are regarding the board I get here and I can't speak for MDF purchased elsewhere. Experiment and play first, that way you can feel your way around and decide if its actually a surface you would like to work with - its not everyone's surface of choice.