Make sure if your are painting softwood (deal or pine) that you use knotting to seal any wood knots, as they may seep or bleed through your paint.
MDF needs to be primed before painting to get a decent coverage. MDF is not suitable for use in bathrooms or kitchens where moisture will cause the board to swell. You can get moisture repellant MDF but the cost would be outlandish relative to the softwood option.
Hardwood windowboards would be most durable, but wasted if you are painting. I would stick with the softwood option in most circumstances.