Bob Flexner's book on wood finishing is a fantastic book.
Remember, the finish is only as good as the surface (unless you're applying heavy paint, or you're going to intentionally texture/decorate).
Waterlox (with multiple coats), wipe-on-poly (with multiple coats) will give you a built-up shiny film finish, much like CA-finished pens. Built-up satin wipe-on-poly just looks weird, but 2 or 3 coats of satin wipe-on is a relatively easy finish. These take a while to apply (because of multiple coats & curing time).
Boiled linseed oil is a good finish, but does amber the wood fairly significantly. Also long curing time.
Danish oil (basically boiled linseed oil thinned with thinner) is an easy and fast-to-apply finish, but still takes time for final cure (several days, in my experience, before the smell totally goes away). Comes both in "clear" and "staining" colors.
Shellac and lacquer are good finishes if you want a shiny surface without the built-up-film look. They are relatively fast to apply. I tend to use thinned shellac as a sealer coat, rather than as the final finish. (Most lacquers nowadays are synthetic rather than tree resin, while shellac is still composed from, shall we say, insect sweat?).
Friction polishes are combinations of shellac, polymerizing oil (such as boiled linseed), and a thinner (typically alcohol). They are very fast to apply, especially on the lathe. I find that it takes several applications, and a good amount of pressure to make the polish heat up. Odor free in a few hours, but probably not fully cured for a few days.
On some items, I like using walnut oil (Mike Mahoney's, or a clone--not the grocery store walnut oil). It's a polymerizing oil that's pretty thin; I find that after a day, an item is handle-able. You can also use it as a seal coat beneath friction polish, or beneath a buffed wax coat. If I use walnut oil as a seal coat, I don't bother waiting for it to polymerize; I just wipe off the excess and then apply the friction polish. Even though walnut oil looks clear, it does slightly amber the wood. I like the look of maple that has had some walnut oil on it.
Buffed wax gives a minimalist finish, and is minimally protective. I'd use that on woods which are naturally oily, such as rosewood.
If you have the patience--Turn some boards, and apply 1-of-each-finish to the boards to see for yourself. I do find that different woods and designs are better with different finishes, but I'm not sure how to articulate that.
Best,
Hy