Any type of wood will work, I use the relatively soft Common Board wood, because it's cheap.
Most folks will do 6' tall, 2' wide shelves, but I find that 3' shelves are just as sturdy, especially with a proper baseboard. I set 2 3' wide shelves next to each other and screw them together for added support.
6 - 6' long, 6" wide, 1" thick common board (I think about $3 a piece)
1 - 3' long, 1' wide, 1" thick common board (This is your base board, I don't believe they sell it in 3', but you can buy 1 6' for about $10 I think and cut it in half for 2 base boards for 2 separate shelves, so in theory $5 for our usage)
36 - screws. I use #8 2" Exterior Wood screws. (I can't honestly recall a price)
$25. roughly.
I also buy sand paper and stuff to smooth out the wood so no splinters. You can also treat and paint the wood if you want obviously, but I never bothered. I also use angle clamps to hold the frame together while screwing the frame together.
This video is a fantastic explanation, but I use a bigger base board so it won't tip, mine is 3' wide instead of 2', and I don't use the particle board backing because it's a waste.
https://www.youtube.com/watch?v=WXTkD7Rq2jU