I too use a variety of finishes, depending on the wood.
A simple friction polish, which you put on as the lathe is running, can be made from equal parts of Boiled Lindseed Oil (BLO), Clear Bulls Eye Shellac and Denatured Alcohol (DNA). I mix mine in a jar. Shake it up before use to mix well. Wipe it on, let it soak in then, turn on the lathe and apply another coat. I let mine cure about 30 minutes, then apply another coat.
Deft Clear wood finish is another I use often. It is a lacquer that can be brushed on or applied directly with a soft cloth. I use an old T-shirt. It provides a clear finish but low sheen. Apply this and let it dry completely before applying another coat or you may wind up with a gummy mess.
Danish Oil is another good one.
Polyurethane is another finish, however I very seldom use it, as Galleries do not like the plastic look of this finish. I learned this the hard way, when a couple of pieces were rejected.
I would suggest that you apply for catalogs and read the section on finishes to see what finishes would apply to the projects you are doing.
I can recommend two I order from on a regular basis, Woodcraft.com and Woodturnerscatalog.com
Hope this helps...maybe other will chime in on their finishes...