There are lots of posts about working with antlers. They cover everything from the different characteristics by species and different folks' favorites (I prefer Axis and almost never turn any other type of antler anymore), how to straighten, how to whiten, thoughts on aging, how to drill, best tools to use to turn, how to finish, and what kits seem to go with them best.
Do some searches and you will find several days worth of reading.
In the meantime, here is my stab at a quick synopsis:
1) Whitetail stinks to high heaven and if your workshop is attached to the house - your significant other may want to know what in the world died in your workshop. The fresher the antler - the worse the stink is.
2) Most antlers have pith. Some have a lot, some have very little, and a few actually have none. Pith can look cool (especially if there is dried blood still in it), but you need to be careful drilling it as your bit will wander around.
3) You can straighten antler - so pretty much all of it can be used.
4) The bark can sometimes add a nice contrast - so consider how you want to drill a blank and whether or not you want the bark.
5) Sharpen everything. Tools, bits, wits - everything. Then sharpen it again, work a little, and sharpen again. Antler eats edges and will turn your sharpest gouge into something that would bind on butter.
6) Consider carbide so that you can disregard #5.
7) Wear a mask - not the el' cheapo paper ones. Something that can filter to the micron level. It might not help with the odor, but the dust does REALLY BAD things to your lungs. You may not have trouble right away (although some folks are violently allergic to the dust) - you will have problems later.
8) Did I mention it stinks? Especially white tail. I have actually seen folks have to step out of the workshop and heave because of the odor.
9) Just about any sealant style finish will work. I prefer CA and think it has the most consistent results. However, there is something to be said for not putting a finish on and letting the antler "turn" over time and develop a patina.
Antler can be daunting for the first time, but take your time, be careful, and have fun. Antler turns out some of the best looking pens and when done right - is actually pretty simple to work with.
Hope that helps.