It seems that there are as many ways to change the color of wood as there are species of wood to change the color of. Stains, paints, dyes, oils, varnishes, etc., and then the colors within each of those. Given enough time, time alone will do it as tannins (naturally in most woods) react to oxygen.
Below, I'll list a few of the things I don't like, and a few that I adore. I'll even list my preferences and why I use them.
The Problem Children
I loathe paint, and I don't feel much better about modern stains. I've used paint, and I've used modern stains, but I don't care for either. I feel like they obscure the wood; they hide it. If that was what I was after, I could just buy plastic.
Paints - Paints are solids suspended in a solvent. Sometimes, a binder has been added. When you go down to the big box store and buy a gallon of fresh coat, you slather it on the wall, and as soon as the solvent (often water) has dried, you leave the solids... Paint. I feel like there isn't much difference between wood and drywall after it has been painted. It's just a covered up surface. On the other hand, my favorite furniture, and those that made it, used paint. If I'm forced to use paint, I like milk paint. The colors are at least historically accurate.
Stains - What we think of as modern stains are not unlike artist's paints, or any paint for that matter. Exceptions not withstanding, stains are essentially dirt. Earth pigments are ground to an extremely fine dust and then suspended in a binder of some sort. We don't want the dirt to blow away. The binder is mixed with some sort of solvent to act as a carrier. When the solvent evaporates, the binder locks the pigment on to the surface. Take any pristine surface and spread some dirt on it. The surface may peek through, but the view of it is obscured. While this effect is greatly exagerated in this example, you get the point.
Ultimately, stains take advantage of the density difference between late and early wood by laying the pigment in the softer depressions of the wood's grain (or in the grain for open grain woods like oak). But, as mentioned above, the application is superficial. While it works, to me, it looks "murky." It isn't as clean or crisp as it could be.
Like almost all hobby woodworkers, my first projects were stained. First projects were where I began my dislike for stains because the look I got wasn't the look I was ever really happy with.
Now, we all remember the grade school celery experemnt where the celery stalk was put into a beaker of water and some red food color was added. Rest assured, that stalk of celery was grave yard dead... it just didn't know it. Somewhere along the line, I connected the dots and figured chemistry/biology might be a better alternative. I decided to look into dyes and take advantage of wood's desire to stay alive, even if it was very dead.
Ebonizing - Ebony is a stunning wood. It's also extremely expensive. Accordingly, ebony is almost always used as an accent wood, and rarely as a primary material. To achieve the look of ebony in less expensive woods, ebonizing uses a variation on a theme exploited by Gustav Stickley (amoing others) during the American Arts & Crafts movement. The story goes that some white oak was stored in a barn. The tannins in the oak reacted to the amonia fumes in horse pee where the horses were stabled. Today, we're more apt to use amonia than tinkle for fuming, but the chemistry concept works well for ebonizing also.
Tannins occur naturally in many woods, some more than others. Woods like white oak, cherry, and walnut have heavier tannin loads than woods like read oak, boxwood, or maple. Holly has virtually none. Anyway, you'll need a couple of "natural" chemical solutions to do this. Specifically, you'll need a tannic acid solution (see the resources below). Put a little quebracho bark powder in a Mason jar of warm water and stir it up. You'll also need an iron oxide solution. For this, take a couple of Brillo pads and completely wash all of the soap out with warm water. Dry them off and then drop them in a Mason jar full of vinegar. In a couple of weeks, the citric acid in the vinegar will disolve the iron pads. Strain the solution through a couple of coffee filters into a clean jar. A Safety Note: While the pads are disolving in the vinegar, do NOT seal the jar tightly. Pressure could build up and cause the jar to burst.
Once you have both solutions ready, just follow the steps below and watch the magic.
- Raise the grain, let it dry, and knock it back down.
- Apply (brush, pad, or spray) the tannic acid solution. Let it dry.
- Apply the rust solution.  It will begin to turn black right before your eyes. Let it dry.
- After it's dried completely, inspect it in several different lighting conditions. 
- Apply a second coat of tannic acid.
- These solutions will soak into the grain, but should still be sealed. I like to use shellac for this.
- Add top coats as you normally would.
 The iron solution will turn the wood black. However, depending on the light, a blue-ish tint may seem to "flouresce", almost like gun blue. If you're looking for a more contemporary appearance, you may be done with the solutions, and can move on to step 6. However, if you're after that coal black color, go to step 5 and proceed in order. A small sample board may be handy for this.
Dye Colorants - I like metal-complex and aniline dyes, specifically TransTint and TransFast dyes respectively. Both are made by Homestead Finishing. In all honesty, I haven't tried any others, but I don't feel a need to either. These products work for me. Both are concetrates that seem to go a long way.
TransTint is their metal-complex dye. They are both, alcohol, and water soluble. My first use was with alcohol, and for me, it wasn't a good fit. I live in the south, and on a hot day, the alcohol flashed off so fast, I got considerable streaking out of overlap lines. Water was a much better fit. It drys quickly, but not so fast that I can't get the projects done.
TransFast is their aniline dye line of products. They're water soluble. The big knock on aniline dyes is that they aren't color fast. Indeed, Homestead Finishing warns agains using them for outside projects, or even indoors where they may be subjected to high levels of UV light.
There is a lot to like about these dyes. They can be layered to create custom colors. The same color can be layered to deepen the color, as it were. Dyes soak deep into the wood grain, and not just lie on the surface. But, most importantly, they are essentially transparent. They don't mask, obscure, or muddy the appearance in any way. They simply let the beauty of wood be seen. One more Safety Note: Use appropriate personal protective equipment (PPE) like gloves and dust masks (for the aniline dye powder).
Quebracho bark powder (dry powder tannin) is available at Shellac.net or Van Dyke's Taxidermy. I use Quebracho powder because it has a higher concentrate of tannin than do other forms, and offers a better bang for the buck.
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