I will be building an outdoor table in the near future. It will probably be outside most if not all of the year (i'm in the midwest so it will get snowed on). Should I use pressure treated wood for this to be able to handle the harsh elements?
PT, cedar, teak, or redwood. The latter is getting more rare and expensive. PT is a bit harder (more resistant to dents and scratches), but tends to warp more due to its extremely wet nature.
Also, PT has chemical concerns for some. The newer versions may be less concerning, but that's for you to decide.
Location and cost are going to be the largest factors in your choice. The lowest cost "outdoor woods" are redwood, cedar, and cypress. Redwood is cheaper on the west coast, while cedar and cypress are more common on the east. Finding out what's the best value in your exact location will require some phone calls. (And you really should seek out a nearby sawmill or lumberyard rather than the home center if you're at all concerned about price.)
The next step up would be imported hardwoods such as teak, ipe, mahogany, etc. Of course there's a certain minimum quality for a table made of them. A traditional plank picnic table would be really expensive in mahogany and look fairly silly, think marble floors in your garage.
A step down would be pressure-treated and/or composite decking, which offers the worst look and best durability. The biggest problem is the mismatched weathering so common on decks, the PT will always be clearly different than whatever you top it with. Or the entire thing will be PT green.
Whatever you decide you can get a fairly dramatic increase in life by avoiding end grain contacting the ground. Failing that sealing it with a clear epoxy or cyanoacrylate glue will help. Otherwise the wood will draw moisture directly from the ground.
Edit - There are a number of ways to keep the cost down, beginning with materials. It's important to know that many of the "expensive woods" found in a home center are the higher grade because they're meant for finish work. They're also surfaced four sides (S4S). Local sawmills and supply yards offer lower grades and rough cut lumber which is substantially cheaper. Around here I believe cedar is about 70% cheaper away from the big orange store. (But framing members are cheaper there than at the sawmill.)
Apart from materials there's also the finish to consider. You've likely seen grey wood which is the result of ultraviolet radiation breaking down the lignin in the outer layers. Any finish intended to preserve the appearance of wood will need to block UV light. Clear marine finishes contain absorbers that react with UV slowly clouding the finish. They're expensive, and need to be reapplied every few years.
Other clear finishes protect against liquid water (but not water vapor) and don't prevent discoloration of the wood. Examples include deck sealants which are applied annually and cheap spar varnishes. A spar varnish is a long-oiled varnish that's more flexible than other varnishes, to be used on wood that experiences changing humidity levels. In the same category are "teak oils," marketed as an annual coating for brightwork and patio furniture. Not that while a teak oil or spar varnish may claim "UV resistance" on the label that says nothing about what percentage of the finish is absorbers. It's not unusual for a dedicated marine finish to hold up for years while the teak oil needs attention every six months.
On the other hand, it's not uncommon that objects such as patio furniture have much less UV exposure than boats, particularly if they're under a canopy or tree, stored indoors in the winter, or shaded by the house for half the hours of daylight. In those cases the cheaper clear finishes can be an adequate low-cost solution.
The lowest cost finish is the granddaddy of them all, paint. Paint easily recommends itself as the premier outdoor finish since it offers great ultraviolet and water protection. Painted homes last hundreds of years. (Provided the paint is maintained, of course.) The obvious drawback is that the "wood table" ends up looking like a "painted table." That may or may not be an issue; bright red or white picnic tables made of rough-sawn pine were common sights before pressure-treated lumber was a thing. It's tough to get cheaper than dimensional lumber and paint from the home center if you don't plan on your table appearing in Architectural Digest.
"Danish Oil" is a marketing term for wiping varnishes generally consisting of an oil, coloring agent, and dilute varnish. The Watco brand is built around asphaltum. They're easier to apply and offer better protection than genuine oil finishes, but the "in the wood" claims are marketing hype. Much of their appeal is that you can wipe over a new topcoat when you need to restore the finish. Traditional varnishes require the existing layer to be abraded before they'll bond and build to thick films which requires periodic stripping.