We used the same stain (below) we used for our fence to stain the boards...I really liked how they turned out, but obviously you can do any kind of stain here. Or paint would give a whole different feel to the shelves as well.
Once you get all your piping assembled and the wood cut and stained, it's GO TIME.
You'll need to have 32 of these wall anchors (below) that hold 77 lbs a piece, so you don't necessarily have to get them in a stud. But depending on how heavy of stuff you plan to put on the shelves, you may want to get the kind that hold even heavier weight...although 77 lbs for each of these is even overkill in my opinion.