I use Tru Oil because it's really durable, cheap, and easy to apply. I pour some in a bottle cap, apply it with my finger, and wipe as much off with a paper towel as I can. This creates a really thin layer that'll dry within 20 minutes, so I can put on another layer. I can apply 20 layers in two days if I want. If I don't want the gloss, I can take that off with steel wool.
There are two things I don't like about TruOil, though. It can turn the spine of your knife a little yellow. Also, there's this line you can see between the spine where it's part of the handle, and the spine where it's part of the blade. I don't know how to make that line disappear.