The least expensive shelving option is to buy large 4 foot by 8 foot sheets of 3/4-inch plywood or MDF and cut your own shelves to size. Often you can have the sheets cut to size, or at least to a size that you can haul home, at the lumberyard or home improvement center.
Pre-cut melamine, that glossy white plastic surface so common in kitchen cabinets, does not require any additional finish. The other materials should be painted or, in the case of solid wood and plywood, sealed with a clear wood finish.
If you would like to research the relative strengths of different shelving materials, take a look at the Sagulator, which is a handy online calculator that allows you to quickly estimate how much different materials are likely to sag.
