I finish everything in the workshop, down to every tool holder, appliance and jig unless it's just for a one-off use. This is partly OCD – I finish the underside of shelves :roll: – but apart from just liking the way it makes the wood look it makes anything you handle feel so much nicer.
I can think of one proper reason to do it though: it goes a long way towards keeping things from getting grubby in a smaller workshop where any metalwork is being done as well. Just a wipe with BLO is better than nothing, but I generally use a couple of thin coats of shellac and then a coat of a homemade oil/wax finish (only thing I use it for), well rubbed in.