I'll be honest, I'm impatient and finishing is something I need to slow down on as well as become more advanced. We originally thought about doing a stain but quickly changed the idea to paint for simplicity reasons. My fear with the stain was the different types/looks of pine. Some of the wood had knots while some of it did not.
We ended up going with basic latex paint and a poly coat. We really couldn't find anything online that said whether or not latex was ok to use for this type of project. I guess only time will tell.
Word of advice, if you use the tongue and groove boards, don't sand mid-way through painting or putting on poly UNLESS you has sanded all of the boards smooth once assembled. I ran into the issue of sanding down the high spots (on accident) after applying multiple coats of paint and poly. It was bound to happen and it was just something I didn't think about until after I sanded.
I was also using 80 grit on the rough boards, then jumped to 120 grit and finished off with 220. When sanding the poly I used 220 as well but found it kind of worthless in the end. The finished didn't need to be perfect and I ended up saving time by not sanding the last coat of poly. I would assume this would be more important over a stain but over latex paint it's fine.
Oh and I used a water based latex. The bed sees a good amount of sun during the day through double windows and oil-based latex turns yellow over time. So thanks to Google, it was advised to use water-based poly.