I put up an 80' round pen last year and ended up buying corral panels from Farm and Fleet. It was about the same price as buying all the lumber, and easier to put up. I can easily take it down, or change the size if I need to. If you search my username you'll find a thread on how I ended up leveling it in a field that wasn't real smooth. We also have a 30' round pen that's built in a wide area of our paddock so the paddock fencing serves as two sides, then we put all our junk gates and corral panels in a curve to make the other two sides.
If you go with wood it has to be sturdy, at some point a horse will try to jump or crawl over it. Can't have sharp edges, bottom rail has to be high enough they can't crawl under, top rail about 5' to discourage jumping. If the horses will be unsupervised don't use pressure treated lumber in case they crib on it.
