Our fence is wood also.....It was almost twice the price to have someone install vs do it ourselves. And although we usually do everything ourselves we had them install it because with their installation it came with a 10 year warranty against everything, including warping. After having it installed we stained it dark brown using a semi-opague stain. It shows some but not all of the grain. It's been up now for 2 years and looks great. I think with the stain you have to restain every 5 years or so. We only used treated wood for the posts not for the pickets or the supports. If you did this though you would not want to wait years befor staining or painting. We stained ours as soon as the weather was dry enough it, about a month after installation. Had no problem with the treated posts absorbing the stain. Treated wood for the posts is best though since they should be in the ground in concrete. Also if you do it yourself look into the best way to set the posts. I've heard differnt opinions, but if you don't have them and the concrete at the right depth they will heave up out of the ground. Another reason we had it professionally installed, so it could be their problem and not ours.
Vinyl fence is nice but usually twice the cost at least. Our fence was 4k (we have a huge yard) and to do vinyl it would have been 8-10k. Its best to still use wood posts inside the hollow vinyl posts to give the structure strength against wind. Aside from the rediculous price though looks was another determining factor for us. You are limited in your choices of the look for vinyl, but with wood you can have whatever you want pretty much. Our fence is 6' around our patio area and then 4' the rest of the way around our yard (association rules). Where it tapers from the higher to the lower I have a nice gradual rolling look, but if we had gone with vinyl it would have just been a big drop. Not very appealing to me. Also, I really wanted convex curves between posts and with vinyl our only option was concave.