I like the warmth of wood also, just feels better to me than paint, but everyone is different & there's no right or wrong answer here. I pre-finished most of my build before putting it together, it's easier to stain & finish things when they're on the bench than with the walls & ceiling in place. Less mess, less stink & less trouble. I used birch plywood (like Tony's picture above shows), but gave it a light honey-maple stain, so it is a little bit darker. Again, a few coats of urethane make it a nice durable finish & seal the wood well.
I built the cabinets first, finished them & then used them to make up the box as I went for the assembly.

