Lacquer.
I personally, would only use CA or lacquer. The reason is durability.
Tung oil, or BLO will not leave a film, and so won't wear off. It also won't protect from oils from the hands. After a few months of use I would imagine that the would would have a very uneven appearance because the areas that get touched will absorb oil from the hands and darken. Never tried it, but that would be my expectation. Even worse with wax. The wax will wear off very quickly and the oils will darken the wood in specific areas.
Mylands gives a very nice and quick finish, but does not hold up well to handling. It, reportedly, wears off quickly.
CA is supposed to be the most durable. It is normally the finish of choice by most pen turners I hear talk about pen finishes.
Lacquer is supposed to be a close second.
Even CA and lacquer will wear off with heavy use.