dubs - I have to ask what you're wanting to do with it.
first, do you want to stain it, or just seal it.
if just sealing wood with a little color and no worries about hard use, Watco "danish oil" is the easiest thing I know of -- it works great for countertops & the like and is dead simple to touch up in the future.
if staining, minwax is decent stuff, follow the instructions on the label and hit it with 2 layers of poly urethane afterwards.
if it's going to be used in an outdoor or otherwise wet environment, spar varnish is the way to go (it's not as hard or durable a finish, but has some flex so it can handle temperature and humidity extremes better)
my preferred method for finishing wood with poly is to put some in a jar mixed 50/50 with mineral spirits -- that's the first coat or 2. thinning it lets it soak in deeper. after that, 2 more coats of full strength.
I don't sand past 220 grit before staining, and only lightly scuff with steel wool or 400 grit paper between coats.
If you're working with something more open grain than pine, after the first thin coat, I'll wet sand with 400 grit paper and the poly -- this fills the pores of the wood with sawdust and sealer so your top coats lay down flatter.