Read Russ Fairfield's pages. In his writings, he issued a challenge of sorts to leave a pen natural. I have done so a number of times, but not w/just any wood. Very hard, dense and oily woods like Lignum Vitae, Texas Ebony, and Pecan (and I suspect Hickory) are all good candidates. And I hazard to guess that Mesquite would fair well too, only it doesn't have the oily characteristics of the others. I have a spalted Pecan pen in my pocket at this very moment that has no finish and I've been carrying it daily for over 8 years. It still looks as good as the day my son gave it to me. The initial finish was a Carnuba stick. I've handled it with wet hands and it's been in more than one sweaty shirt pocket over the years, and even been caught in a rain storm or three.
Not to throw a wet blanket on the "You don't have unfinished furniture do you?" crowd, but I've not seen any furniture made from LV, or the others. Yes, all woods will wick up water. But not all have the same consequences. Some will grunge badly and rapidly, while others will age and patina naturally and gracefully. So would I leave furniture made from these same woods unfinished? I guess it depends on what you call a finish. I would wax them several times a year, but honestly, I don't think I'd do much more. And my finish of choice for furniture is a equal part mixture of polyurethane, BLO and Tung oil, but try putting that on a pen. It leaves a nice warm finish to the wood, but it still needs to be protected by a coat of wax at least once year.
So based on my experience, my answer to the original question would have to be, "It depends."