I've been involved in the woodworking side of the business as an individual woodworker (home shop-smaller than Norm's) and on the retail end (sales at Woodcraft and Woodworkers Supply, now retired). I have used quite a few of the finishes mentionned (and others), and can recommend two step oil based finishes over water based ones. These include Danish oils such as Watco and General Finishes "Seal-a-Cell". Both include a "sealer" product, and an associated "Poly" top coat. The sealer products come in "natural" or stain type, the latter which have pigmented stain content. The Watco line has 6-8 shades, with gloss and matte poly top coats, while the General Finish line has > 15 shades, with 4 poly top coats.
The sealer coat (usually two of them) does little more than color the wood, while the top coats (3-4) protect it from household elements. Both are cotton cloth "wipe-on", and rags should be disposed of carefully. The instructions are fairly self explanatory; however, the stated drying times are under "optimum" conditions, so allow additional time between coats.
I have also used pure "tung" oil, which is an ingredient in some of the sealers. It does a beautiful job on woods where one wants to hi-lite the natural grain of the wood. It is extremely slow drying (weeks, not days), needs to be hand-rubbed, and does not offer the protection of poly top coats. It dries faster if thinned with mineral spirits, but still is not too swift.
Shellac is ancient, but is still used by many to get a highly polished (look up "French polishing") finish. It comes pre-mixed and in flake form. I prefer the flake form (diluted in alcohol-"Everclear" from liquor store is best), and there are several grades, from Garnet to Super Blonde.
I have used laquer as a protective top coat, but agree with a previous post in that it is generally more difficult to obtain a good finish for the home shop user. It is used extensively by commercial furniture companies, but they apply it in extremely controlled conditions, i.e., spray rooms, and high tech spray equipment.
Two recommendations for those venturing out into the speaker cabinet construction/finishing arena:
1) Obtain a finishing book such as "Understanding Wood Finishing" by Bob Flexner. $16.95 is cheap protection against ruining a set of cabinets.
2) Always do a sample with your intended finish, on the exact material which is used for your cabinets, prior to committing it on your cabinets.