I enjoy working in my woodworking shop and have made a few outdoor furniture pieces. I've made most of mine out of pine...either treated or untreated, although I also built a small teak bench.
If you build out of popular, pine or just about any other native untreated wood except for cedar, redwood, cypress, black locust...., you really need to paint or stain right away. I much prefer stain since stain doesn't peel or chip and just seems to look good longer.
Another good practice is to be careful to avoid joints that will be prone to water infiltration if the furniture will be used out in an open, uncovered area. I built an outdoor Morris chair I found plans for in Popular Woodworking a few years ago out of untreated pine. Despite painting it with several coats of pricey oil-based paint, I was getting a lot of wood rot at many of the joints within 2 years. I built and stained a second last summer using treated lumber and redesigning it slightly to eliminate / protect the biggest problem areas.
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"May you live every day of your life." - Jonathan Swift
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