Home Depots carry 8x4 sheets of 5/8" and 3/4" MDF. The sheets are actually 97"x49" in size. Most will also carry "Handy-Panels" that are 4x4 and 4x2. If you don't want to rip your own sheet, the best thing to do is to (carefully) draw out a cutting diagram and have the store cut the sheet up for you into panels.

Offically, Home Depot will not guarentee accurate cuts, but it's been accurate enough for me (down to 1/32"). Just don't go in Sunday afternoon and expect extra care in service though. Weekday mornings or afternoons are usually the best time.

The Craftsman forum has a lot of good advice about building and finishing.

Gar.