Good idea. SWMBO has a platform bed for the guest bedroom on my list o' projects, and because of the decor in that room, walnut seemed like the lgocial choice for me as well.
I love oil followed by shellac and wax on walnut. And you know what oil looks particularly good, IMHO? Appropriately enough, walnut oil. :-) I've used BLO (my standard oil finish) and walnut oil, and it seems that the walnut oil doesn't darken things quite as much. It brings out the grain but it seems to bring a better clarity to the wood. YMMV.
Follow that with either blonde or orange shellac. (Personally, I like blonde, but I believe our dearly-missed shellac guru, Paully Rad was an advocate of orange for the warmth it brings to the wood.)
Stained or not, you have to be careful trying to match ply with solid wood of the same species. I don't know if it's because the ply is made of thin veneers and thus accepts a finish differently, but I would most definitely try whatever finish you plan to use and test it on both solid and ply for a color match.
Probably so. :-} It's been a while since I made any walnut purchases, but IIRC, down here in Taxsuss it's about $5-6/bf for 4/4.
My work with walnut has been confined to small projects where I've used it as an accent wood, and several bowls and trays that I made as gifts. The only decent-sized project I can think of is a chisel storage cabinet in my shop where I used it for the panels: http://uweb.txstate.edu/~cv01/chicabinet.jpg
IMHO, walnut is a joy to work. It saws and planes very nicely, and if you have really gnarly stuff, it responds pretty well to a scraper. It also has such a really interesting variation in grain and figure, and I even like the look of a bit of sapwood in my projects.
If you can get over the sticker shock, I think you'll really enjoy working it.