I agree with everything Mark and Travis said.
There is always some tradeoff, such as the colorfast issue, but dye does not mask the grain as pigment stains are inclined to do.
I have had good sucess in ragging the dye on which allows me to put it on quickly and move it around as needed to avoid lap marks, which generally seem to appear where you fail to keep a wet edge.
My preferred dyes are Behlens Solarlux because they don't seem to raise the grain (and probably because I am used to them so I don't get too many suprises).
For a really nice finish with good depth, try a dye in a color just a bit lighter than the desired final result, followed by a washcoat of dewaxed shellac (Sealcoat is good) and just scuff it with 320 or 400 paper. Then apply a darker pigmented stain and "dry brush" it when it starts to set up in order to get the desired color.
'Dry brushing" moves the stain around and removes some so you can fine tune the color and get some shading effects if desired, and the choice of pigmented stain color allows you to adjust the color tone (i.e., more reddish, or whatever you think is needed). Then use whatever clearcoat you choose which is compatible with the stain. (If in doubt about compatibility, seal the stain with Sealcoat first.)
Sounds more complicated than it really is when you start doing it.
The layering of color seems to add depth and avoid the grain covering effect of pigmented stains.
But be sure to try the color combinations on a scrap first. You can usually remove the stain with solvent if you don't like the result and try a different stain, but the dye is pretty hard to remove short of bleaching the wood and starting over.
This process will allow you to get a color result you have in your head rather than just what the manufacturer put in the can.
Good luck,
Allan
