I would agree with the previous posts. I have used cypress with success. It's fairly affordable, easy to work, and requires very little care. Best of all it hold up to the elements. I too would avoid finishes. It is also helpful to keep the inside of the box rough to allow young birds a means of gripping the sides. Good luck.
I tend to like using cedar shingles for the roof. They can be purchased in bundles at retailers such as Home Depot. When layered they provide a nice visual accent.