I use Spoke Prep.
I used to use linseed oil, but you have to let the wheels age for a while before you ride on them or they'll loosen up.
I haven't had any issues with using Spoke Prep except for the cost. If you are only building wheels for personal use, it's way expensive. If you build a lot of wheels, the per wheel cost is manageable because a bottle will prep a lot of spokes.