It depends on the project. I don't have a lot of experience filling in on flatwork projects thus far, but I've used epoxy with success.
In turnings, and right now I focus on smaller turnings like pens, wine bottle stoppers, beer bottle openers, tool handles, etc, I've used black CA, coffee grounds or ebony sanding dust or another sanding dust with thin CA. I've also used medium CA for some smaller fill in. I'd like to try turquoise, but haven't ponied up the money for some yet.
Here's a pen I did from a piece of Olive Burl that had a lot of small checks throughout it. When I glued the tube in, I did so using black CA so the black CA would fill in the checks from that direction. (Rather than having clear CA show the tube.) When close to final size, I filled in all the checks with black CA. This is one of my favorite pens I've made and it's in good hands - I sent it to another member here. I'd really like to get my hands on some more olive burl with this level of small checking - I'd really like to make a few more pens like this one, including one for myself.
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