Here is a helpful tip if you are thinking of staining some cedar shingles. To protect new shingles, apply a penetrating stain. Stain soaks in and protects the wood from the weather, and it won't crack, peel, or chip. Brush liberally along the bottom edges of each course and then over the face of the shingles with a generous coat of stain. Start at the top courses and work your way down. For an authentic, weathered look, use a transparent stain.
For more on finishes, consider:
Paints and Finishes
How To: Stain Wood Furniture
8 Ways to Age, Distress, and Add Shine to Your Next Project