We finally got around to sanding all of the pieces! If you decide to make one, I suggest not sanding in the sun on an 85 degree day, I'm a little sun burnt, 16 days before the wedding :/
Oh well, it's AWESOME! We of course had to test it out too 
Directions I followed: http://community.homedepot.com/t5/Playdate-Projects/Building-a-Giant-Jenga-Game/td-p/48259
-We bought eight 8' sections instead of the four 16' ones. Made it easier to bring home in a car haha
-Don't be afraid to pick out the 'good' ones at the store: find ones that are already pretty smooth with as little knots as possible.
-It says sand the corners, but I would sand any part that isn't pretty smooth. You don't want to get splinters! We also sanded every edge so they were rounded.
-I suggest not painting them, or even staining them. Think about paint outside: in the sun, it tends to get tacky. That would make for one hard jenga game with sticky pieces.
TOTAL COST: Less than $25 for the wood
