Stain and then polyurethane or the varnish is the way to go, you will also really want to think about poly and varnish as well with the treated lumber if and when you ever use treated wood, due to all the chemicals they use in the treating, which some include formaldehyde, and such.... I build my own and go with the stain and poly method, just make sure to air them out for a fewe days before move in day...