I use #8 3/4 inch pan head philips screws. They seem to work good for me. It is always a good idea to pre-drill though so you dont crack or split the wood or MDF.
I've always used coarse threaded decking or drywall screws. Get a length that will go completely through the thickness of the box...IE if you have a 3/4" MDF box, 1" screws will be perfect.
I use some shiny mdf screws that have the square hole. Theft deturency. You arent going to pick my box up so the a hole would have to try to pull the subs out. Time and effort.