The other day I posted a long overdue project page for staining IKEA furniture. I did this in one marathon weekend in my first apartment, and I definitely made tons of mistakes.
The main piece of advice I have is to assemble the cabinets first!! At the first hint of stain all of the boards warped, and those nice, pre-drilled holes no longer lined up properly. I had to wing it, drill new holes, and screw it all together with a cordless drill instead of those awful allen wrenches. But once it was done I liked it a lot, and it only cost something like $250 for an eight foot-long wall of shelving that held my wine and my television (talk about putting all your eggs in one basket!). It has served me well for three years now. The funny thing is, IKEA now sells pre-stained IVAR shelving. :)
Project instructions for staining IKEA furniture.