Teak oil works a treat on most timbers! Used on oak, ash and beech/bamboo combination bokuto so far. Also jolly decent for shinai.
Beeswax maybe? It leaves a lovely golden glow to the wood, and it's cheap as well. It's been used to protect wood for centuries, so can't be too bad a choice. Smells nice too.
Saw the thread title and thought this may have been something very different... Mybe a "special interest" group. Ninecircles do a wooden weapon oil. Not sure what's in it though. I sand mine down occasionally, and check for damage or splinters, but have never oiled them.
Excellent point about the linseed oil Scott, I've only ever used boiled linseed oil. Have never tried teak oil. My favorite is an orange oil and beeswax mix that they sell at my local big box home store.
I oil mine with sweat. I must have somewhat oily sweat as it seems to do the job quite well Though it is a grass rather than wood, i use corn oil on shinai Its cheap and seems to do the job