I've used liquid nails, wood glue, and a few others, and I prefer Gorilla Glue. I highly recommend using nitrile gloves when you deal with it though, unless you want to be sanding it off of your hands.
I build all my enclosures with gorilla glue and screws. I remove the screws once the glue is set. I've actually gone back and destroyed enclosures that were no longer needed. The MDF would separate before the glue, Gorilla Glue is no joke. Just lightly dampen both surfaces with a wet rag before gluing the two surfaces together and the glue will soak in.
Also, remember Gorilla Glue does foam up so don't use too much. If you do it is fairly easy to remove excess with a scraper when it dries.