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First: as a maker of both violins and guitars I must point out that the 'magic varnish' school of thought has pretty well died out. I think most makers these days would agree that the most you can expect out of a finish acoustically is that it doesn't hurt the tone too much. There _is_ a lot of debate about finishes, but it's mostly centered on the nature of the 'ground coat' and how things were applied and is more focussed on appearance. I really don't want to go into that much more here: it's a huge topic. Suffice to say that if you want to start a fist fight at a violin makers meeting, just quietly say the word 'varnish'. There has been some useful research into finishes done by the violin makers, though.
Oils, in general, suffer from a couple of drawbacks as guitar finishes. For one thing, they don't form a good protective film, but rather tend to soak into the wood. The lighter molecular weight components of linseed oil can soak right through the 1mm thick maple sides of a violin in about a year, before hardening. The other drawback is that all of the oils add a lot of damping: they 'eat' sound, and in particular high frequencies. The added weight and damping account for the 'rag stuffed' sound of an acoustic finished with oil.
Traditional varnishes are made by cooking a drying oil along with a resin. In theory the oil acts as a plasticiser for the resin, making it less brittle, and also keeps it from being damaged by whatever solvent would normally dissolve it (usually alcohol). The resin, in turn, helps the oil to form a film and keeps it from soaking in out of sight. Oil-resin varnishes do have more damping than straight resin finishes in general, and usually end up being thicker as well, but they can be among the most beautiful finishes, and are usually tougher than something like shellac, let alone one of the more brittle resins. Varnishes are hugely variable, and present certain problems in use, but can be worth the trouble of finding a good one and learning how to use it. My understanding is that ost of the 'gunstock oils' and 'Danish oils' are, in fact, varnishes of one sort or another that have been thinned out for wiping.
Solvent release finishes, like shellac and lacquer, tend to be hard and a bit brittle. They don't harden by a chemical change, and so can be damaged by exposure to their solvent. This makes them easy to touch up, since a new coat will 'burn in'. Sadly for shellac, the solvents are alcohol and alkaline water solutions, which seems to include sweat for a lot of people. Shellac does become harder and more solvent resistant with age, but it takes abut 75 years for it to get to 'impervious' status. The big advantages of shellac are that it's pretty much non-toxic and that it can be put on thinner than almost any other finish. It actually has lower damping than the wood, so that a shellaced surface tends to 'ring' better than one without the finish.
Nitrocellulose lacquer has been the standard finish in the guitar world for a couple of generations. In some respects it's a 'super shellac', with lower damping and a harder surface, and it's solvents are not things you run into every day. Sadly, those solvents are quite toxic. Unlike shellac, nitro gets _worse_ with age, as it is chemically unstable. Museum restoration people give it a useful life of about 50-75 years. The thicker you put it on the quicker it breaks down. Getting set up to spray nitro _legally_ is a costly proposition in most places, as it is an extreme health, fire, and evironmental hazard.
Clean air considerations have lead to the concoction of a number of water born finishes in the last twenty or so years. The early ones were basically nitro, acrylic or polyurethane finishes with emulsifiers added so that they could be whipped up with water. The early ones were pretty bad. I understand that some of the new ones are getting to be OK, but having been burned I'm going to wait a while.
There are several new finishes, such as the UV cure polyesters, that are pretty amazing, if the hype is to be believed. Some of them require special equipment to use.
The bottom line with finishes is that there is no _good_ instrument finish, in that they all have problems. You have to decide what you want the finish to do, and what drawbacks you are willing to put up with to get what's important to you. I currently use shellac, as French polish (and the use of it seems to be growing, rather than diminishing, in popularity), and an oil varnish when I want something with a little better wear properties. I simply can't tolerate lacquer any more.
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