Linseed Oil worked good, and Thompson's makes a whole line of wood sealers, I used a deck sealer on the outside of mine, mostly because they sell it in 1gal cans, and its non-toxic, the outside can be sealed with any wood sealer though. Mostly depends on how you want it to look. There are smokers on here that have used anything from Linseed Oil, to Paint.
Like AK said though, run 2 or 3 smokes with no meat and the inside will have a nice smoke seal to it.