Over the years I've tried quite a few finishes on my decks at home -- Cabot oil, spar varnish, varnish on Smith's Penetrating Epoxy Sealer, Target polycarbonate water-based finish, and marine varnish.
Oil finishes are by far the easiest to apply and maintain. If you like the look and feel of oil, or you're concerned with minimizing maintenance effort, definitely go with that.
If you want a clear film-forming finish, be prepared for a more complicated application process and more maintenance. You'll need to keep an eye out for the inevitable drying and cracking, so that you can apply a new layer before water works its way under the film, causing flaking and staining. Choose a type that lets you "burn in" a new layer of finish over the old ones, without having to remove ALL the old material each time. Be aware that film-forming finishes are slippery when wet, so you'll need some way to improve grip (silica, other additives, or non-skid tape, for example) especially on steps. And make sure you get something with excellent resistance to ultraviolet (UV) radiation.
Currently I'm using Epifanes marine varnish with Interlux Intergrip non-skid additive, and it's the best all-around solution I've found. I applied six coats using the thinning schedule that Epifanes recommends, and two light coats with the Intergrip. It looks like it will need another coat or two on the high-wear areas every two years; maybe a coat every three or four on the low-wear areas. I'm in the San Francisco Bay area, so sun exposure usually causes more damage to my decks than cold or wet weather.
I've heard of people using two-part urethanes for decks. I believe that would work, and would provide much better wear resistance. They would be tricky for a do-it-yourselfer to apply, though, because you'd need an approved respirator. And you'd definitely need non-skid additive.
Finally, you might not have this option, but if you can it's always best to apply finish to both sides of the lumber. That helps reduce cupping and warping due to different moisture absorption rates on the faces of the boards.
Hopefully the pros around here will chime in with more information!
Allen
