If you want to dip your toe in the water then buy the spirit stain trial pack, you get most of the colours in small bottles, plenty to "have a go" with.
I have watched Mark's video and it has some very useful info, but don't be tied to it, colouring can be approached from a wide variety of angles, it isn't something that is easy to explain, pretty much you have to jump in and see what happens, it can be daunting, you spend some considerable time sanding and finishing a piece, it actually looks pretty good as plain wood, will you now wreck it by the wild unplanned application of some terrible colour combination? These are the thoughts running through your mind I would guess, I know they do for me anyway!
So, learn the colour wheel and what contrasting colours are, learn what colour goes with another and what doesn't (again, this isn't a hard and fast rule, but before you can break rules you need to know them) That way you will at least have a plan before you apply any colour.
Apply your lighter colours first, you can paint dark over light but not the other way round.
Don't be afraid to lay one colour over another or to mix colours in a small pot to create different colours.
You can wipe some colour away with meths, but in open grained wood like Ash, the dye will penetrate right through the pores so don't expect to clean right up. Close grained woods are a little easier, but even they have end grain and thus pores too.
Once you are happy with the colour, you have a choice of finish, rattle can lacquer, use a sealer first, I use Chestnuts range. followed by either the gloss or the satin, spray light coats to avoid runs and washing colour about as the lacquer will dissolve the colour if it is applied to heavily. three coats of gloss should be enough. You can use buffing compound to polish it, be very careful, only light pressure and check it to avoid going through the lacquer.
Finishing oil, this is easiest as it will not affect the colour, use three or four coats allowing several hours between coats to allow polymerization to occur, then once completely dry (I allow three days) buff it on a buffing system if you have one, other wise cut it back gently with a nyweb pad and polish on the lathe, obviously you will need to leave a spigot in place for remounting during this process.
Above all, just have a go, try different things, Phil Irons told me he coloured his stuff prior to sanding, he gets wonderful effects that way, I tried it and all the colour dissapeared! Mark says apply colour first, then sealer, but applying sealer first can give you a thinner, more subtle colour, so again, try different approaches. Sure, you are going to do stuff that is awful to look at, but also you will make some great things too.
To see some of the stuff I have done in this regard, check out my blog and be sure to visit the older posts button at the bottom of the page.
Have fun!