Thompson makes the best exterior stain. From my experience in using it, if applied properly, it repels water better. It also penetrates deeper in the wood and keeps the natural color of the wood for longer. It still works well even in pressure treated wood and in raw wood. It is the best choice.
Valspar makes some of the best that I have found. They are reasonably priced and really do a great job on decks and other outdoor furniture. Be sure to have plenty of rags, because there stains really are strong. You will be quickly trying to wipe the excess off. Hope that helps.
In my opinion the best exterior stain is Olympic Premium. The benefits are that it is relatively inexpensive as compared to other products and it also has a 12 year warranty. I have heard that it is good at rejecting cracking, dirt, mildew and fading as compared with other stains on the market.
No matter how expensive or impressive the stain may be, every summer touch ups will be required. With that said, Cabot oil based stains has a long longevity and is durable for high traffic decks. This is the stain most contracters use on their jobs and recommand to thier clients.
Just about any well-known brand of stain should do the job but I've always had excellent results from Olympic stains. Their sales literature will tell you a great deal about the manufacturing process and about why they feel their product is superior.