Without a bit more information, this is hard to answer. What size of a bench (how long, how deep?) Does it need to compliment other features of deck (in terms of wood, color, style)?
As knotboy indicated, MDF (medium-density fibreboard) is a poor choice for outdoor use -- it does not handle moisture well at all, has insufficient strength, and is extremely heavy. Properly finished pine, redwood, cedar, or teak are all good choices. Teak has the best weather-resistance properties, but is both expensive and hard to "work."
If you have limited (or no) construction experience, I would strongly encourage you to get a book on outdoor furniture construction and read a little bit about what you're getting yourself into. A bench, surprisingly, is not the simplest of projects to start. It *seems* like it would simple, but ensuring that your construction is safe and stable is harder than it looks.
