I ordered an unfinished Alder body that I was considering leaving as is. But when it arrived it was clear it would need something on it - it didn't even feel that great, it had that slight "furry" feeling in parts that you get from a wood like that.
I just went with some Shellac-based sanding sealer in the end. Brushed it on, then rubbed it down with steel wool. It's going to need a few coats and I've not finished yet. But it looks and feels great, just how I hoped it would - and most people would probably think it was unfinished.
I did get a run that I didn't see in time and it soaked in, and now I think it'll probably be visible forever. So if I was going to do this again I would brush over the whole guitar with denatured alcohol (meths) first, just so it wasn't quite so thirsty when I came to apply the shellac.
Depending on how the sanding sealer goes, I may go over it with Briwax or something at the end.