There are, as mentioned above, some woods that don't necessarily need finishing. However, maple fretboards, for example, will get grubby and horribly discoloured over time without some sort of protection.

Is your query related to finishing a guitar that's being made or put together from parts?

If you don't think you have the time or ability to finish a guitar, rather than go for woods that don't need a finish, use Tru-Oil. It's easy to use (rub it into the wood with your fingers or a rag) and can dry overnight ready for hardware fitting. Even if you only apply a couple of coats, it will help protect the wood.

Also note that most wood will look much better with a finish on it
Quote by Wisthekiller
Maple doesn't NEED to be finished. It'll just be horrendously dirty if it's not.

Hard maples don't need finishes. Soft maples (like quilted, flamed, birdseye, among others) do need a finish if it's going to be a fretboard, otherwise there'll be denting.

Most dense woods you can get by without a finish for protective purposes. Most dark woods can get by without a finish for aesthetic purposes.