What Finish
Okay, all this being said, here's another question. What is a good alternative to using poly? I have been using that almost entirely because I wanted to get comfortable with one finish before I moved to another. I see so many guys that I don't feel pay enough attention to the finish and I think that a great finish is just as important as your skill at turning.
In my view, it depends on what you want for the particular piece, and, perhaps more importantly, what the piece "wants" for itself.
A high gloss finish sparkles and reflects points and lines of light; it tends to accentuate the design lines of the object.
A low gloss, matte, or flat finish will "hold" the light on the surface, accentuating the mass or volume of the form.
Both may be used on different parts of a piece (like a box with a shiny finial).
I personally tend to shy away from glass-like finishes a) because they are delicate and make the piece seem fragile, and b) because my turnings don't lend themselves to high shines.
That said, dewaxed shellac is a part of every wood finish routine that I use, whether on turnings or flatwork. With the tremendous advances in waterborne finish technology in the past 10 years, most, but not all, of my topcoats are now the acrylic lacquers and polys. I also use tung oil sealers to bring out (pop) grain, but I don't care for the oil varnishes due to their tone and color changes over time. Unfortunately, we are presently experiencing a scarcity (and rising prices) in the types and grades of shellac available, which I hope will be resolved.
Many people tend to look at finishing as a chore, and tend to limit themselves to a single method with which they've become comfortable. In doing so they isolate themselves from the many options and effects that can be used to amplify what they have made. I suggest you gather some scrap wood and spend some time with different finishes to learn what to expect with the different routines, from 1-part to 3-part protocals. Then you'll be in a better position to gauge which you can effectively use on a given piece. I also highly recommend doing some reading on the subject. Excellent books by Jeff Jewitt, Michael Dresdner, Bob Flexner, and others are readily available.