Pine is often a problem when staining and will often give a patchy effect. This is one of the reasons coloured waxes became so popular as they will give a much more even effect.
Chas is right that usually stain goes on unsealed wood, it needs to be able to soak in to work and if the wood is sealed this can't happen... except sometimes in the case of pine.
My usual advice is a case such as this is to apply one thin coat of sanding sealer first; this will partially seal the more open areas but have little effect on the less open areas, giving a more even surface to stain.
Apart from the above, we would only normally recommend one coat of cellulose sanding sealer unless working with very open grained timber. If you apply a wax after several coats of sealer it won't matter but if you use a lacquer then there is a danger that several months down the line the whole surface could craze, giving an interesting effect but probably not one you want.
Shellac Sealer doesn't have the same problem as it is not as hard.
Darn I hate telling people to use less of our products!
