I've never stained anything in my life. What are my options with stain? Any recommendations? Do I just roll it on with a paint roller and let it dry?
Stain is designed to soak into the wood, not coat it like paint. For the best application, you'll wipe it on (either with a brush or rag) and then wipe off all the excess with a clean rag so that the wood remains relatively dry. You can do more applications depending on how dark you want the wood to end up. If you just brush it on and leave it, like paint, you'll end up with a very uneven application. There will be darker streaks and runs all over the place.
x2 this is for furniture, but the same information applies. http://www.diynetwork.com/decorating/tips-on-staining-wood/index.html