The most important part in finishing a piece of furniture happens before you open a can of stain or varnish. It is important that you complete the major sanding process prior to final assembly. It is easier to do this sanding before the piece is permanently glued up. Beware of cross grain sanding as it can ruin any finish.
If you use filler for nail and screw holes, be sure that it is sanded until it only remains in the hole or void that you are trying to fill. Also, during your glue up, the excess glue that has squeezed out needs to either be wiped off with a damp cloth, or allowed to dry and then cut away with a chisel. If you allow the glue to dry and do not sand nor scrape it off, it will show, as a light spot in your finish, or it will not accept the stain that you apply.
There have been more articles written on sandpaper than can be counted. A simple rule for sandpaper states that the finer the sandpaper used the lighter the stain color will be. Just the opposite applies for using coarser sandpaper. The coarser the sandpaper the darker the stain color. Just remember that sanding must be thorough. Sand even with the grain of the wood and use progressively finer grits of paper for a smooth surface.
When selecting sandpaper for your project remember, that coarse papers below 60 grit, are rarely used for fine furniture finishing. They may, on occasion, be useful for distressing the surface, rounding harsh corners, or breaking down extremely rough areas. The grades of sandpaper used for most furniture fall in the fine and very fine grades.
For hard to stain woods, finish sanding with 120 grit will usually accommodate the problem. For finish sanding on most furniture hardwoods, like cherry, walnut and mahogany, use 180 through 320 grit.
Many projects require a very smooth surface for finishing and for this you will need a wood filler. The primary function of wood filler is to fill the pores found in woods such as oak, ash, mahogany and walnut. The filler must blend with the color of the wood so that it is inconspicuous and it must level very well. It is applied with and across the grain, allowed to dry and then scrubbed off with and old towel. The filler should be allowed to dry for 8 hours and then sanded to a level surface that is very smooth.
A stain is used to color the wood while allowing the tone and the grain to show through. The types of stains vary, but most of them fall within the following categories.

OIL STAINS are traditional stains, which consist of a dye in oil. Oil stains are available ready to use in many colors and are the easiest of all stains to apply. There are two types of oil stain, one is a penetrating oil stain and the other is a pigmented stain. Don't use the penetrating stain on fine furniture because the stain may fade and bleed into the finish. Streaking can also be a problem. Pigmented oil stain is often referred to as a wiping stain because it produces a uniform color on furniture. You many also find the new gelled-pigmented stains easy to use. They are available in both oil and water soluble stains.

WATER STAINS consist of a dye dissolved in water, which is very transparent and leaves a very permanent color. The application of water stains can sometimes be a bit tricky because the stain does not bleed in; it needs to be applied very carefully so as not to cause stripes in your final finish.

NONGRAIN RAISING (NGR) is a stain that dries quickly, produces a transparent color and does not raise the grain. Lacquer sealer can be mixed with the stain so that you can combine staining and finishing in one operation.

ALCOHOL STAINS are made from aniline dyes and alcohol. They have been used primarily for furniture repair work because they penetrate very well. These types of stains are rarely used for an entire project as they fade over time and your finish will have a washed out look in a few years.

CUSTOM STAINS can be made by mixing one part polymerized linseed oil with three parts of paint thinner. Blend this combination with a small amount of burnt umber and burnt sienna. Yellow ocher will in many instances help in blending the color. Finishes today offer the woodworker a vast selection of products. There are traditional finishes like shellac and to new products that are jelled polyurethane with the stain included to speed the finishing process.

WAXED FINISHES will create a dull luster finish with a minimal effort. There are special pigmented waxes available that allow you to stain and finish the wood in one operation. The wax should be heated before it is applied because it will penetrate the wood much better than when applied cold. Buff the surface and apply two or three times to achieve the gloss desired. Once you have rubbed wax into the surface you cannot apply another type of finish. The waxed surface will repel any other type of finish.

TUNG OIL FINISHES offer some of the best finishes on the market today. Many of the finishes come in colors, which can be blended to achieve almost any color. Many manufacturers have a polyurethane base in their product, which makes the finish more durable. This finish is usually applied with a rag to flood the surface. This should be allowed to dry for 15 minutes and then wiped off. Successive coats can be wet sanded with 400-grit paper to create a finish that is durable and offers a moderate sheen.

SHELLAC FINISH is a traditional finish used on period furniture. The success of your finish depends on the freshness of the product. Shellac is sold in two colors. White shellac is relatively clear and will create a slight amber cast to the finish. Orange shellac, especially when used in a multicast finish, will cause amber, almost orange finish. Be sure and follow the directions on the package to cut the shellac. A one-pound cut is a good starting point for a beginner. Also, use the very best brush that you have, as it will assist in achieving a smooth finish.

LACQUER FINISHES in most cases will achieve the finest of finishes for furniture. Lacquers are sold in four basic sheens: gloss, semigloss, dull and flat. Lacquer is a traditional sprayed finish, but there are products on the market that can be brushed on with relatively good success. All lacquers require a sanding sealer and these can be brushed or sprayed on. The best finish is achieved with a spray gun and many will find this application difficult. In many applications a small touch up gun or an airbrush will work for small projects.