Every turner has his/her own favorite. And to some degree, you are limited to what is available in your area.
One of the issues is that the oils that typically exist on hands will quickly degrade many possible finishes. So, for example, a shellac-based friction polish might initially look nice, but the appearance isn't permanent.
The most common response to this question is to use cyanoacryllate adhesive (aka CA or superglue) as a finish. This is typically wiped on in multiple thin applications to build a fairly thick coating that it then sanded smooth, and polished using superfine 'micromesh' abrasives, and then finally finished using a plastic polish. CA can be polished to a high gloss and is fairly permanent. Personally, I don't care for a CA finish - it's a lot of work and takes practice to master, CA smells awful, and the final product is very 'plasticky' - after all, a CA finish is nothing more than a coat of highly polished acryllic plastic.
My preferences are:
- The quickest finish is a lacquer-based friction polish made by blending ordinary lacquer, lacquer thinner, and a drying oil (I use Tung oil but boiled linseed oil also works well). I think you could accomplish essentially the same thing using multiple coats of a cellulose lacquer sanding sealer, probably sanding lightly between coats. I typically apply two or three applications of friction polish - I want the finish to be thick enough to protect the pen, but not so thick that it becomes a plastic sleeve over the pen - I want to be able to feel the wood from which the pen is made. Because lacquer dries so quickly, it is only necessary to wait a few minutes between applications. As a result, this is a very fast way to finish pens.
- For a thicker, more shiny finish, I wipe on multiple coats of polyurethane varnish. This is a tough finish - its the same stuff used to finish hardwood floors. Poly takes time to cure between applications - typically an hour for water-based materials, and 2-3 hours for solvent-based finishes, so this is a much slower process. After the poly has cured fully (allow at least a full day, and preferably several days), it can be buffed or polished using an abrasive polish such as Yorkshire Grit or EEE Ultrashine. Incidentally, some people use a dipping process to apply polyurethane - that's a great way to build a fairly thick finish that can be buffed to a great shine, but it takes time and requires that you build a special jig for dipping the pen, and also provide a rack for the finish to cure. That has always struck me as unnecessarily messy.
