Using stain on the exterior on your house - whether its on the siding, trim or deck - is a lot easier than painting. It doesn't require a primer and is less time consuming. It can also be applied to new wood, wood that has had paint sanded off of it or wood that was previously stained.
A disadvantage of stain is that it fades more quickly than paint and therefore requires more frequent re-coating. But if you apply two or more coats at one application, you can extend the life of the finish considerably. Another downside is that lap marks are more difficult to eliminate because stain dries more quickly than paint. You can minimize them by applying a second coat, but this may darken the finish, so be sure to test it out first.
As you work, be sure to mix the stain at regular intervals because the pigment settles rather quickly.