Wood stains, also known as wood dyes are designed to change the colour of wood while leaving the grain still visible. Most stains don't offer a lot of protection to wood, apart from perhaps some of the stains that are made for external use which tend to be a lot thicker, so if you're using a stain it's usually a good idea to apply a protective coat of something else like a varnish afterwards - depending on what project you're doing and what look you want to achieve. Stains are available in all sorts of different colours, but the colour that you will achieve after applying will also depend on the type of wood that you are applying it too. I'd recommend using a piece of scrap of the same wood that you want to apply the stain to, wait for it to dry and then you can check if it's a colour that you're happy with before you apply it to the actual thing that you want to stain. If the colour is too intense, you can dilute it with mineral spirits to thin it out and make the stain more subtle. If the colour isn't intense enough, then you can apply multiple coats until you get the result you want. Stains are easy to apply with either a paint brush or a rag. It usually dries pretty quickly. Applying stain can raise the grain on some wood types, so you might want to rub it down with some steel wool or do some light sanding in between coats to keep things smooth. You can add other finishes like oil or varnish after your stain has dried without any problems.
Oils make wood look good. Unfinished wood looks dry and kind of dull, and applying oil will bring out the natural beauty of the wood making the grain pop and nourishing the wood - it replaces the natural oils in wood that dry out over time. Oil will add a bit of colour to the wood too, making it slightly darker and it can also add a warmer yellowish tint to it, but not in the same way that a stain would change the colour of wood - you generally get more of a natural look with oil. There are loads of different types of oils but some of the most popular ones are boiled linseed oil, teak oil, ting oil, mineral oil and danish oil. Oils add a bit of protection to the wood against things like moisture but are nowhere near as effective as a finish like varnish or lacquer would. Danish oil offers more protection than other oils because it is actually a mixture of oil and varnish, so it is more hard wearing. Oils are easy to apply with a brush or a rag. You can apply multiple coats of oil if you want to achieve different looks. Boiled Linseed Oil is cheap to buy so I tend to use that when I want to bring out the beauty of the wood in a project but I don't need much protection - like on a picture frame for example. I tend to use Danish Oil when I need a bit more protection, for example on a table top. Mineral oil is good for things like chopping boards, because it is food safe and it won't go rancid.
Polyurethane finish is basically a liquid plastic, and it can either be water based or oil based, the water based stuff dries quickly but doesn't do much to bring out the natural beauty of the wood, whereas oil based takes longer to dry and will pop the grain nicely and add a warm tint to it. It's usually available in different levels of sheen - gloss is shiny when it catches the light, Matt is not shiny at all and Satin is somewhere in between the two. Polyurethane is the most durable and hard wearing finish - so it's good to use on things like floorboards or table tops. You can apply it with a brush, but I like to use a wipe on poly - that way you don't need to worry about dealing with brush strokes. But if you do use a brush, a bit of wet sanding with some fine grit wet and dry abrasive paper will usually smooth it out nicely. The down side to polyurethane finish in my opinion is that it has kind of a plasticky feel to it so I don't tend to use it very often but that's just a personal thing
Varnish is an older type of finish made up of oils, resin and solvents. It dries slowly and isn't as durable as polyurethane, but it does offer better UV protection than polyurethane. It's usually cheaper than polyurethane too.
Yacht varnish also knows as spar varnish is great for exterior use, great for things like decking and garden furniture.
Shellac is another older type of finish. It's basically flakes of waxy resin scraped from a tree which is then mixed with an alcohol solvent which makes it easy to apply and it dries quickly. It offers a very glossy finish and is often used on antiques and fine furniture. Shellac is what is used for French polishing which is basically applying lots of very thin coats of shellac. It is not as durable as polyurethane or varnish but it does look great, however it can appear slightly dull and cloudy with age.
Lacquer is a thin liquid varnish usually applied by spraying. It dries quite quickly due to the evaporating solvents that it contains. It's durable and hardwearing and it can also be polished to a glossy finish. And it also pops the grain and brings out the natural beauty in wood without drastically changing the colour of the wood.
Finishing Wax is usually made mainly of beeswax. It's available as a clear finish or in different colours. It offers a bit of protection to wood against moisture and it brings out the natural beauty in the wood and a leaves a very smooth to the touch finish. It is best applied sparingly using a rag, or you can use a brush and then wipe off the excess with a rag. After it dries it can be buffed using another clean rag to a nice satin ish sheen. It's not suitable for exterior use.
