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Most door companies will not sell you a finished door. The door will typically be machine sanded and then finished with 120-grit sandpaper before shipping.
Finishing a wood door as soon as it arrives will protect it from changes in temperature and humidity, which can cause warping, rot, and other problems. If you must hold off on finishing, make sure the door is kept in a well- ventilated, clean, dry environment away from sunlight, and do not let it rest on a concrete floor.
When shopping for wood doors, ask the dealer if you can take home (or have shipped to you) small pieces of several different types of wood (usually referred to as corner pieces) from the manufacturer.
Samples will show you the different grain patterns and also allow you to experiment with different stains or paints to see how the wood will look when finished. Most all woods accept stain well; poplar is the ideal choice for painting.
Some companies offer sample kits for around $10. These kits contain samples of popular woods in thin rectangular pieces that you can sand and finish.