In the "Getting Started with Woodworking" video, the holes through the 4x4's were drilled from the back. That is, they start on the side opposite the precisely-positioned mark, and drill through to hit it. If they can do this, more power to them, but I can't drill through 3-1/2" of wood to emerge at a precise mark without a drill press - and not always then.
If you decide upon construction lumber, you want kiln dry lumber. Green lumber will warp on you as it drys. Dig through the stacks and pick out the straightest, cleanest pieces. Generally, the boards that are sitting loose on the stack are those that other people left behind, as they sorted through looking for better. Be prepared to move them out of the way, and to dig down to the better stock. Be nice, though, and put everything back when you're done.
Regardless of which type of screw you use, you'll need to flip the panel and use a countersink drill to on all of the exit holes. Drilling MDF leaves bumps, the countersink bit will remove them, and will create a little bit of space for material drawn up by the screw from the second sheet of MDF. You want to remove anything that might keep the two panels from mating up flat. I set a block plane to a very shallow bite and ran it over what was left of the bumps and over the edges. The edges of MDF can be bulged by by sawing or just by handling, and you want to knock that down.

This bench suffers from no such limitations as it provides an incredibly solid and stable workspace, albeit in a somewhat stripped down version. In terms of performance, Sjobergs tops our list at providing 80 lbs of weight capacity. This is one of the more quantifiable measurements to determine the quality of a work bench’s craftsmanship. This is achieved by using thick pieces of European birch wood and working it without using lower end joints – like butt joints.

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