My past experience with varnishing my oil paintings have been mixed.  However, I just tried Gamblin's Gamvar Picture Varnish (Gamblin Artists Colors) for the first time and it turned out great.  I plan on using it for all my varnishing.  The following are the steps that I use and recommend for varnishing using Gamvar:

The supplies.    1 clean, unused brush, 1 - 2 inches in width, good quality, soft but firm texture (keep for   
                           varnishing only).  I used a new, 2-inch Langnickel gesso brush that came with a Langnickel 
                           brush set. 
                        1 clean jar with solvent to clean your varnishing brush afterward; best solvent is Gamblin's 
                           Gamsol, an odorless mineral spirits (oms); (keep the jar with the clean solvent for cleaning
                           the varnish brush only).
                        1 level surface for your painting with a layer of paper or plastic to protect the surface.
                        1 dust free room with ventilation; keep pets and curious children away from the area.
                        1 Gamvar mix; you have to add the supplied solvent to the crystals in a jar and mix for 8 hours, 
                            before you  use the Gamvar.  I did this the day before the actual varnishing. (Read the notes 
                            about the expiration of the mixed Gamvar.)
                        1-10 prepared paintings to varnish (lightly dust the dry, older paintings with a brush and check  
                            and for missed brush hairs); when the brush is wet with varnish, be ready to batch the process 
                            and save yourself setup time.
                        1 level drying area for the first hour; optional, later, prop the paintings with the varnish side 
                           towards  a wall and then the 'air dust' is less likely to land on the fresh varnish.

The process.  1. Dip your brush into the Gamvar, wetting just the tip of the brush.  A little does go a long way. 
                          I used  one brush load for an 8x10 and 2-3 brush loads for 20x24 up to 22x28. Also, try to
                          keep the lid on the varnish, to minimize evaporation and have cleaner air.  (I didn't notice any 
                          odor while varnishing - wonderful.)
                      2. Start at a corner of the painting, brush in a controlled criss-cross pattern, and try to go as far
                          as you can before reloading the brush with more varnish.  Be mindful of the coarser canvas  
                          weaves that take more brushing and watch for any pooling in areas which you brush out.
                      3. Once the painting is thoroughly covered and checked for any missed dry spots usually near the
                          edges, you can stop brushing.  This one application will leave a shiny surface.  Any bubbles
                          will soon disappear.
                      4. To take the shine down a bit, keep brushing the surface until you feel resistance. You will notice
                          the varnish will start to be less shiny. It will take a good 2-3 minutes, depending upon the
                          conditions, like humidity or air circulation in your room. Be careful that you brush down the
                          whole surface or you will have uneven shine.
                      5. Find a place for the painting to dry; my paintings with the thin, brush down coat took an hour
                          in general and the no-brush down paintings a bit longer (even a bit tacky the next day).
                      6. When finished with all the paintings, clean the brush in the solvent.
                      7. Optional: the next day, apply a second coat, thinly as before, for more shine and coverage. 
                          I found one coat to be sufficient for this group of paintings.

You can view a short video on Gamblin's website: Gamblin Artists Colors: Using Varnishes

My experience with other varnishes:

Damar varnish.  I made my own damar varnish by purchasing damar crystals (a tree resin) and dissolving them in turpentine.  It was really cool to see the bits and bugs at the jar's bottom and feeling old world.  That was for my first portrait years ago.  The instructor for that workshop had us use the same mixture, slightly diluted as a medium.  Little did I know that I was setting myself up for trouble.  Because it's mixed with turpentine, the mixture is really smelly and toxic.  I later read that old world paintings yellowed mainly because of the oil and resin varnish they used at the time.  (That's not good for white collars in the corporate portrait.)  The other major problem was that the instructor advised me to use the same mixture as a varnish.  I waited the required six months and gave it a shot.  I applied it with a brush. The texture was uneven, it set up fast leaving uneven brush strokes and too much of a shine, highlighting every bit of dust and  missed brush hairs.  Then I learned, if the varnish needs to be removed, the solvent for damar varnish would affect the damar in the paint. Lesson: do not use your medium as a varnish.  Another instructor advised me to use the workshop medium, maroger, also as a topcoat on the painting. I didn't.  (Gamvar is removable.)

Retouch Varnish. For the past few years, I was using Winsor & Newton Artists' Retouching Varnish.  It is clear and easy to apply using a similar process as above and will give a similar sheen. The advantage is that you can apply it when the painting is fresh and dry to the touch.  However, unlike Gamvar with its almost non-odor property, the retouch varnish has a major odor.  (I had to varnish in the garage, which I'm sure exposed my paintings to lots of dust.)  From what I understand, retouch varnish is really a diluted varnish.  There is standard advice that you can paint over this layer.  That's comforting when you feel like you may need to at some point.  The advice is that you should really make a decision that the painting is done.  Gamblin says when you need to 'refresh' a painting before continuing to paint, if the paint has sunken in and looks dull in the dark areas, it would be better to 'oil out', using your medium or a bit of oil to refresh these spots.  It sounds like having layers of paint with layers of retouch on top with more layers of paint and then a varnish could be problematic down the road.  In the end, since it is a diluted mixture, the retouch varnish will not be protecting your painting like a true varnish layer like Gamvar.

Why should you varnish?  First reason is to add a layer of protection against exposure to daylight, temperature differences, and traffic dust.  In my case, I just finished a portrait commission and the painting will be hanging in  a very public place with outside doors nearby.  You can read the archival and technical qualities of Gamvar and see why I chose to use it.  Second reason is that it makes the painting have the 'just painted' or wet look.  (I love walking into my studio to check on a current painting and smelling the linseed oil.)  Third reason is that the varnish will bring out or enrich the colors.  I have a collection of plein air studies done in Mexico last year and the colors appeared lifeless (see the Before painting below to compare). When I applied Gamvar, the colors popped right up and now the paintings have the original feeling of that experience (see the After painting at the beginning).  If you don't like the sheen (one artist's blog said it made his paintings look like plastic), try the 'brush down' method above.  Gamblin sells a wax for use as an alternative, non-sheen method.  I'll try that soon.

 The Before - unvarnished painting, April 2008.

When should you varnish?  If it's dry to the touch, generally within a week to a month you can apply Gamvar. The literature, like Ralph Mayer's book, The Artist's Handbook of Materials and Techniques, says to wait for 3 - 6 months (page 209). This presents a problem if you sell the painting before the recommended time frame.  Some artist have told me that they don't varnish and let the buyer worry about it.  Other artists, like me, have relied on retouch varnish to give a quick topcoat. I say, it all depends on your painting style, the type of paints, the mediums, the thin or thickness of your application.  In my case, my oil paintings are painted in thin layers over time or alla prima as in plein air. For paints, in the past, I have used earth colors, cadmiums, transparent colors, and some oily, more expensive paints. My current palette now is a limited palette of chosen paints that setup pretty fast. For mediums, I use a bit of Gamsol in the beginning and then only a bit of linseed oil later, following the 'fat over lean' suggestion.  Other varnishes and methods 'seal' the paint which promotes cracking if the underneath layers are still drying. Understanding this, the Gamblin has made Gamvar so that it can be applied sooner staying flexible with the drying process.

For Gamblin's information on varnishing, go to Gamblin Artists Colors: Varnish.