I stained my Hinterberg Easy Build...sanded it really well, used Minwax and then finished it off with tung oil. Looks great ten years later and because I did all the staining before I put it together, it was really simple to do.
The only down side is the stain 'takes' differently on the different types of wood they use for the frame, some is oak and some is pine. It's not a big deal really.