I am a polar opposite of you, I like the unfinished necks better. But since you asked... Things like Pure Tung Oil or Linseed Oil you wipe on, let sink in for a little while, and wipe off so that a very thin layer is left behind. Then you let it sit for about a week and the oil polymerizes with the oxygen in the air. Rough it up slightly with a scotch brite pad and repeat. Tru Oil, not really oil but varnish, if I remember what CB described it as, is something you apply like a finish and buff out later. Lemon oil is mineral oil with citrus aroma added and a little naphtha to help clean off gunk. It will leave behind a very slick (oil...) coat and condition the wood. It is possible to put too much on if you really try, and try pretty hard.
The wood doesn't need a finish so it is for looks or feel of the neck. The oil finishes are like very nice antique furniture. Tru oil is odd stuff but seems to be like a gloss finish that doesn't seem to be as hard as some of the other finishes. But in my case, it may be because when I used it I was not very knowledgeable in applying it. I have four unfinished necks on various instruments, or one almost finished instrument. I use a very small amount of "lemon oil" if I think any thing is building up on the neck getting it dirty. This works out to almost never. The unfinished necks play very nice, and I really don't notice it that much unless I change to a finished neck. The Ebony neck is getting kinda shiny now and it looks cool. If you have the chance play it without finish for a while to see if you like it or not. Clean and finish it later if need be.
Patrick