There's lots of good oil finishes, as long as the gun won't be subjected to much extreme weather. For best protection in the elements a good barrier finish is way better.
The secret to any finish though is as Tejano said- prep, to include pore filling, and final treatment. Merely sanding to fine grit, slopping on a couple coats of oil, and walking away from it will give a serviceable finish but it won't look very elegant- and if you've invested a few hours of work what's a few hours more to do do it right?
Regardless of the oil used, the very last thing to do is apply a good paste wax. It'll bring up a luster after rubbing out but primarily it'll actually provide a modicum of water resistance that an oil finish denies you.
+1.........
