It's Mono Density Fibreboard.....vile stuff! It's carcinogenic which is why even if you are cutting it outdoors you have to wear a mask. The glues they use in it are highly toxic and the factories that manufacture it pump loads of crap into the environment.
I believe that MDF can only be sold in ready made or flat pack furniture in the US and can't be sold in hardware stores to be used by builders etc.
Here's some info off the web about it:
MDF can be dangerous to use if the correct safety precautions are not taken. MDF contains a substance called urea formaldehyde, which may be released from the material through cutting and sanding. Urea formaldehyde may cause irritation to the eyes and lungs. Proper ventilation is required when using it and facemasks are needed when sanding or cutting MDF with machinery. The dust produced when machining MDF is very dangerous. Masks and goggles should always be worn at all times. Due to the fact that MDF contains a great deal of glue the cutting edges of your tools will blunt very quickly. MDF can be fixed together with screws and nails but the material may split if care is not taken. If you are screwing, the screws should not be any further than 25mm in from the edge. When using screws always use pilot holes. Urea formaldehyde is always being slowly released from the surface of MDF. When painting it is good idea to coat the whole of the product in order to seal in the urea formaldehyde. Wax and oil finishes may be used as finishes but they are less effective at sealing in the urea formaldehyde