I have never been really satisfied with water based so only use them as part of a "build up" to the colour I want, and usually as the base coat/first or second colour down.
Simply because of availability, oil stains (minwax, varathane) have been my "go to" stains.
Just started experimenting with analine dyes and alcohol (on the plus side, if I mix with Vodka might be able to "drink" batches that don't work out :rotf: ).
Seriously though, the alcohol base ones look promising but I don't think I will ever give up the oil based (which are now really just solvents, no oil involved), simply because of the range of colours available and the cost which is sometimes only 1/2 the price of other options.