Staining a swingset- any tips?

I used solid color waterproofing stain (its more like paint than stain) on ours and it has held up great to both the weather and abuse thrown at it by the kiddos. You can find it at any paint store or home improvement store that sells paint. I think I bought this stuff at Lowes.

Push the child very high and fast and let nature take it's course?

Cabot's is very good. It has either color or clear.
For just clear Thompson's water seal is great.

I usually like to powerwash whatever outdoor wood I am going to stain, and +1 on the solid color waterproof stain.

If you want to keep[ the natural finish, SOLID BODY is not the way to go. It lays on like stain, but covers like paint. If you want to be able to see the natural redwood, you need to use a transparent stain. Sherwin Williams sells a product called Wood Scapes. If you want a little inbetween, you can use a semi-transparent stain, and that's somewhere between a solid body stain (covers like paint), and a transparent paint (natural finish).

The transparent will only last a few years before needing re-coating. The solid body will last a good 5 years before the high traffic areas will need recoating, but once you go solid body, you cannot get the natural look back (w/o hours of labor).