So of the above responses, how many ACTUALLY have MDF in their garages so they can come to this conclusion? My guess is that each and every one has tried it, so each and every one knows for a fact. That's good, I'd hate to see someone steered wrong.

Myself, I guess I am going to have to go out to my garage, and rip all of my larger trim boards down and replace them with something else because they must just be soaking up water and going to ****, as I sit here.
I may as well take all of my drywall of also, because I know that in the multitude of threads that I have read on here that drywall is pure **** for a garage also, all for the fact that you can't run a screw in it, it's heavy, any screw will pull out, and.....it will soak up moisture and go to hell just as fast as you put it up. Good Lord I wish I had read all of these responses before I put up MDF and drywall in my garage YEARS ago.
S10Extremist......if you have it, and you want to use it, do so. Go to the ReStore around your area if you have one and get a few cheap gallons of latex paint. Paint all of your edges a couple of times. If you have a drafty garage, put up a sheet of visqueen on the wall before you start hanging your sheets. You wouldn't necessarily have to paint the backs of the sheets, but it wouldn't hurt. Hang all of the sheets up using some deck screws since it is 3/4 thick. The screws will not pull out or through. I would set the sheets on something if your garage is built on a slab. A treated 1x4 or 1x6 would work great for that. Hang each sheet by using 2 screws, one at each top corner, and go down the wall to the other end. If all of your seams are butted together, and all looks great, measure down in one corner on the MDF and put in your screws which you feel is adequate. 5 equally spaced from the top down should be very adequate. Go to the other end and measure the same distance. Get a chalk line and snap a line from one end to the other for the screws, so every sheet has the screws at the same area and distance apart.
If you have like a B&D drill set that has the drill and countersink combo in it, use that to drill your holes and countersink the heads. You can then go back with joint compound and fill all of the screw spots. Sand it all down, and paint it the color of your choice. For a garage, I would go with a sheen like a satin or a semi-gloss.
Post up a pic if you do it, and lets see how it turns out.