I've used linseed oil on deck furniture. It gave a beautiful finish (brought out all the natural colors), and looked great for the whole summer. But by the next year it needed doing again, which I'll be doing soon. It's cheap deck furniture, so I don't mind if it degrades a little while I pretend it doesn't yet need to be retreated. Personally, I wouldn't do that with window/door trim.
IIRC, I mixed it with turpentine, which I believe helps it soak into the wood.
Elsewhere on my house I'm testing a toner product called Penofin, on some redwood. That's holding up great so far, and I'm expecting to only have to re-apply it every few years. (it contains micro metalic elements, which reflect/block some of the harmful UV light) There are plenty of Penofin competitors / alternatives too. Personally, I'd use something like that on doors/windows, or paint them.