I built a fence for my dad on both sides of the backyard about four years ago. I imagine that digging holes will be infinitely easier than in Arizona, that was definitely the most time-consuming part of the project. The fence boards have held up well, but I recently replaced one on the gate, and I am replacing the original 2x4s with pressure-treated ones, but simply spraying with a sealant should have protected them.
Dad told me not to, though.
I recently discovered that a piece of cut pressure-treated lumber that had been laying on the ground had significant insect damage. They ate a treated side, not the cut face.
This looks like a good guide to using pressure-treated lumber:
Your Guide to Working With Pressure-Treated Lumber
I see endless opinions regarding metal posts versus wood, with each claiming their preferred material is vastly stronger than the other. Some say the posts for chain-link fences are more than adequate for a wooden fence.
We set all of the posts in concrete and they have held up, although we had a strange problem with one of the gate posts--it actually bent under the weight of a gate that is only three and a half feet wide! The concrete rotated a bit, too, so I pulled it out, and used a pressure-treated 6x6 with four or five bags of concrete. I do not feel there is an alternative to concrete, dirt or gravel will give and the hole will expand. Wood will decay with direct contact to moisture.