I used OSB on mine. People told me "oh, you can't do that, you'd have to wrap it with tyvek and then add siding, blah blah blah..." It worked fine. The OSB was seven bucks a sheet, compared to 16 bucks for the cheapest plywood I'd consider using. Picked up some 'oops' paint at home depot for five bucks a gallon... it was actually 'porch and floor paint,' but who cares? Rolled it on before I started building... both sides, and the edges. Seven sheets of the OSB drank up two gallons of paint. Worked like a dream, saved a fortune. Used it for everything but the roof.
When the time came to build the run, I used 2x4s. Got the base done, then realized I'd under-bought. Told my darling bride I needed to go get some more 2x4s. She said "You are NOT buying any more wood!" Scratched my head for a while, then realized I *might* have enough, but only if I ripped the 2x4s lengthwise on the table saw. Took a while, but it worked! Built a 28' run. The key was realizing I was just trying to hold up wire, not frame a house.
The windows came from the habitat for humanity Restore. 7 bucks each. So what if they don't open? Framed them up, put hinges on the frame, and now they do.
The coop door was a head scratcher. Then I realized we had a doggy door that we'd never installed. It had been sitting around for ten years. With just a couple modifications, I was able to frame it up, and now I have a vertical sliding door, raccoon proof and chicken sized, from the coop to the run. There's always a way...