I use whatever i have to hand depending on the project of course, i use a lot of softwood, ply and MDF so for the softwood and ply i tend to use Danish Oil, Wood Dye, Wax or Acrylic Varnish again depending on the project, i can get some nice colours mixing a little Wood Dye into the Danish Oil, for MDF i use Acrylic paint and Acrylic Varnish as you really need to hide MDF but it works well for colourful Intasia/Segmentation projects, i also use Glitter for some projects, if i make hardwood Doll House furniture i usually finish them with Acrylic Varnish.
Ian