A hand-rubbed boiled linseed oil finish.

Preparing the wood surface for an oil finish is considerably more time consuming than for any other kind of finish. Sand the wood very well, working through progressively finer grits. Final sanding is done by hand with 320-grit paper.
There are two schools of thought on increasing oil penetration. One way is to heat the boiled linseed oil to around 40 degrees Celsius before applying it to the wood.
An alternative is to thin the first coat about 50% with paraffin or mineral turpentine.
Either way, apply a heavy coat that is allowed to soak into the wood for up to four hours before the excess is rubbed off with clean rags or paper towels. Be sure the excess is rubbed of well. It will get sticky if you let it sit too long. Before following up with a second coat 24 hours later, lightly sand with 400-grit paper. A third coat can be applied.
Let the last coat dry for at least 48 hours before removing dust with Scotchbrite or fine steel wool. Apply a thin coat of Cobra floor polish or other wax, and buff. Periodic waxing will renew the luster.

A wet sanded oil finish
Some woodworkers prefer to do fine sanding while the surface is drenched in oil. The wood’s pores get filled with a slurry of wood dust and oil. With a lot of work and patience, a flawless finish can be achieved.

Sand the wood surface well, working through progressively finer grits. When the surface has been taken to 220-grit, apply a coat of oil and rub it in with 220-grit wrapped around a cork or foam sanding block. When you feel the sandpaper begin to slip instead of biting, you know that it’s almost finished its job. Apply more oil and sand with 320-grit, then repeat the process with 400-grit and even 600-grit, if you want to go all out.

The wet sanding process produces a slurry of wood dust and oil which is forced down into the wood pores. Wipe the slurry off the surface before beginning each new grit, but leave the 600-grit slurry on the surface until it begins to thicken. Then wipe the wood across the grain until it is almost dry before setting the piece aside for the remaining slurry to dry completely. This will take a few days.
When the wood is dry, remove the slurry film with fine steel wool, working with the grain. Do this to remove all oil residues from the surface. If the surface quality is uneven, with dull spots, apply another coat of oil and work it in with 600-grit paper. Wipe off the excess with paper towels and let this coat dry. If you are determined to completely fill the pores, you can wet sand again to build up slurry, let it dry again on the wood, repeating the whole process until the surface is flawless.

An oil and varnish finish.

Instead of waxing an oil finish, another option is to apply an oil-and-varnish mix. Lots of people have different ways of mixing and applying the blend. One mix is 3 parts polyurethane varnish (like Nova 17), 2 parts boiled linseed oil and 2 parts mineral turpentine. This mix is applied with a rag. Wipe each coat clean and almost dry, allow drying time between coats and apply at least 3 coats. There is no need to sand between coats, unless there is a minor imperfection that you overlooked earlier.
Another mix I heard of recently is one part Woodoc 10, one part boiled linseed oil and one part mineral turpentine. I haven’t tried this one yet!