Sheathing is much more than just throwing up walls, it provides a large amount of stability and protection from the elements.  I wanted to stay away from OSB just for the fact that it is slightly heavier, not as resistant to moisture, and it isn't as ridged.  It cost a little more but I was fine with the cost difference for something that would hold up a little better to road travel.  1/2 plywood was used to cover the house along with ring shank nails set at about a 60 degree angle.  

Make sure the plywood is staggered to assist in the rigidity of the structure, IE don't let any vertical seams line up.  Started from the bottom and worked my way up, using plywood roofing spacers made it easy to do most of the sheathing myself.  Don't bother cutting out your windows until the panel is set in place.  Simply cut your windows our with a reciprocating saw, work smarter not harder.  All I needed for this part of the project was a circular saw, reciprocating saw, and a framing nailer.  Again, its fun to work a couple days away when you can see this kind of progress happening.  Wish my lazy dog did a little more than absolutely nothing.