Like others have said, it depends on the wood and what you are using it for.
One thing that I'm finding useful for turnings that are going to be used as opposed to just looked at, is the Eli Wax, which is 80% mineral oil and 20% beeswax. If you get reclaimed beeswax, then it will add a slight amber color to the wood, very slight, but if you get the beeswax before the bees get to it, then it is clear, and will not add any color.
I wipe it on fairly thick, with the lathe turned off, then rub it in, let is sit for 5-10 minutes, then I turn on the lathe at 1500 rpm, and using a paper towel, I buff it. This finish is fairly robust, not dishwasher safe, but robust, and from time to time you can just wipe on a bit more to freshen it up, totally food safe as well.
For shiny things, I like the rattle can lacquer, then buffed, but make darn sure the lacquer is VERY well dried, or you
WILL be sanding it and refinishing it..... DAMHIKT
Cheers!