Paddles are great to build. The design, mechanics, and engineering of a paddle is very subtle and very difficult. BUT
paddles are like boats. It's really hard to make a "bad" one. My first paddle was made from a 1X 6 yellow pine board. Heavy, but it worked. Just copy your favorite paddle and you're good to go. Along with that are the greenland and aleut style paddles that you can make out of a laminated blank or a single piece of wood.
Finishing is partly an individual preference. You need to protect the wood but it's also how the paddle feels to your hands. I mostly just epoxy paddles. If I want more protection than that I'll use Varathane exterior UV protected water based polyurethane--same thing I use on my boats. Any of the marine spar varnishes and urethanes will work fine. You can find them at Home Depot and Lowe's. Some people prefer to oil their paddle with an appropriate wood finishing oil. I understand that walrus fat works well for the eskimos... Paddle finishing is really not rocket science (though the physics of the way paddles work IS...)
I buy all my epoxy, some cloth, and misc. supplies from http://www.uscomposites.com/
and I get cloth, closed cell foam, and a few other things at http://www.sweetcomposites.com/
I never quit looking for new places and new stuff...