I am not the expert, but I like varnish on the exterior except on my teak toerail,where I use Semco.
I used (and recommend) Rebecca Wittman's
books as a guide. Her second book is more helpful as a "recipe" for finishing:
The Brightwork Companion : Tried-and-True Methods and Strongly Held Opinions in Thirteen and One-Half Chapters
My understanding of her approach is not to use
oil on the exterior because it requires *more*
work than varnish considering the frequency of application and the application care that it really requires if you do it well.
Oil is better suited for the
interior.
Another option a lot of folks like on the exterior is Cetol.