To pick a suitable finish, you'll have to shop through a multitude of products with varying characteristics. The most common finishes are shellac, lacquer, varnish and oil. These are all solvent or oil-based products, so make sure to take precautions. Wear protective gloves, goggles and a respirator with organic vapor cartridges when using these materials. Most importantly, make sure your work area is ventilated according to the recommendations printed on the produc's container.
One of the biggest differences among the four traditional finishes is how they function on wood. Shellac, lacquer and varnish are all surface finishes. This means that they do not penetrate, to any great extent, past the surface of the wood. The first coat goes in the farthest, but subsequent coats merely build on the first to form a smooth, usually glossy, surface. Oil, on the other hand, is considered a penetrating finish because it reaches much deeper into the wood and leaves only a microscopic layer of finish on the surface. Subsequent coats continue to penetrate.
All these finishes have their strengths and weaknesses. Shellac, for instance, when properly applied, creates a stunning high-gloss surface, which, over time, takes on a remarkable amber color. It's also very fast-drying, which is a great advantage over some other finishes. Unfortunately, shellac is very prone to water stains.
Lacquer is also quick-drying and is the preferred finish of many professionals. It's usually sprayed on and yields a clear, hard finish that stands up well to practically any abuse. It is, however, very flammable.
Varnishes, both the traditional types and the newer poly-urethane versions, are extremely durable and some impart a warm amber tone, not unlike shellac. Unfortunately, varnish can be difficult to apply and it takes a very long time to dry. Because of this, airborne shop dust becomes a real problem. It settles in the finish before the finish is dry. Then it has to be rubbed out before another coat is applied.
For the beginner, an oil finish is the best choice. It's easy to apply, dries fairly quickly and is not difficult to repair. It also imparts silkiness to the surface and develops a beautiful patina over time.