1) Achieving a nice looking finish on MDF is like trying to polish a turd; as Mythbusters proved, it is possible, but it requires more time, effort and cost than a sane person is likely to commit to the task.
2) As a corollary to the above; real wood looks amazing with very little effort, a bit of sanding and a couple of coats of varnish and it is beautiful.
Following on from the above:
3) Instead of spending a load of money on stain for the MDF, i should have taken the hit up front and bought real wood for the shelves. It would have ended up costing the same, taken less time and would have finished looking much better.
4) After around 40 hours of work, i have realised that i probably would have been better off just buying a couple of bookcases from a shop. Ok it is nice that the bookcase i made fits perfectly in the space and maximises the number of books i can store, but it took a hell of a long time and is far from perfect.
I wanted to capture what i had learned incase i forgot, there will be a full blog post on my bookcase project within a week or so.