i used 6" cedar pickets for my privacy fence. you don't have to treat them but i sealed my fence. all you have to do to seal it is get some thompsons water seal and put it in like one of those pump sprayers for spraying stuff on your yard and just coat it once or twice. the cedar pickets look great for ALONG time and they smell good too. i also recomend either buying or renting a duo fast nail gun. they use aluminum nails so after awhile you won't get the nail stains on your pickets. how tall a fence are you building? how deep did you set your poles?
we just built a fence using cedar pickets. the first side we just went and bought the number we neaded for $1.20 ea at homedepot. then the next week they didnt have any good pickets, so we orderd a pallet on the phone and got them at 99c each. and we just went and picked them up at homedepot when they came in. depending on what type picked (cedar ,pine, gothic, dogear) they come in diffrent amounts some pallets are 360 to 600 pickets.