Done properly the oiled finish will outlast and outperform everything else.
I refinished a factory stock on a Remington Model 581 .22LR for my son-in-law, pretty basic wood, using urethane.
I stripped the original finish with a non-toxic remover. Do NOT merely sand it off, use a good stripper!
Then sanded with increasingly finer grits until I was satisfied with smoothness.
I only wiped the stock down with a dry cloth before staining. A wet cloth removes the fine sawdust that fills the pores, which I didn't want to do.
Then I went over with fine steel wool, then a coat of urethane, let dry, then steel wool and another coat, and repeated about 5 times.
Good enough finish, but all said and done, it will still show scratches easily enough because urethane doesn't soak into the wood the way oil will. And when you do scratch it, and you will, the oiled finish is easier to touch up than is the urethane.
...at least this has been my experience, albeit I'm certainly no expert on this.
There's some pretty good websites that explain how to do finish stocks. Quick surf came up with these, and there's lots more. Search "refinishing gun stocks"...
http://hunting.about.com/od/guns/a/aastockrefinish.htm
http://riflestocks.tripod.com/refinish.html
http://www.rifleshootermag.com/gunsmithing/RSgunsmith6/index.html