Thanks Derek. I've read about the linseed oil option, but there seem to be very conflicting opinions! Dan Erlewine says to use the un-boiled, raw variety, but other sources say you should only use boiled linseed oil as the raw type can remain slightly tacky and pick up bits of dirt, skin etc - which all sounds rather unpleasant. I haven't tried either type, but I do have vague memories of linseed oil being used for school cricket bats, and that was horrible sticky muck.
I have some bottles of Fret Doctor which is basically bore oil. The chap who makes it, Ed Boyle, is a fifer and that's what he originally developed it for. It's good stuff, much better than lemon oil.
I'm still not entirely sure, though, why you can pick up two "identical" Strats and one will have a nice glossy fingerboard but the other will look dry, when presumably they've both been through exactly the same processes. It seems to me that the dry piece just isn't as "good", even if it can be improved with oil treatment.
I feel like I'm trying to talk myself into buying a dry rosewood neck when I really should be waiting for a nicer one to turn up.