When choosing wallboard, remember the difference between drywall and blueboard. Drywall panels are covered with paper that will take paint directly, once they've been taped and the joints and fasteners have been covered with compound. Blueboard's more absorbent paper layer is designed to bond with a veneer plaster coating before it's painted.
For more on walls, consider:
How To: Finish Seamless Drywall
Blueboard and Veneer Plaster Offer Old-Style Look