there are always lots of tradeoffs involved in construction. I've put up decks and cedar fencing and it is hard to think about spending a few hundred bucks more to add a stain/protector. By the time it weathers and you wish you did, it is too late.
Check around on different brands, I've heard good and bad about all different brands but try to find some neighbors, etc. who has a deck you can look at to see how it held up over time and one with a stain can really dress up the wood cause some kinds of the clear stuff still allows the color to fade from the sun UV rays. Good luck.