I have just finished my deck, which I built with 2" X 6" Treated Lumber. The lumber is light and I want to stain darker
And leave the grain showing. I also want it protected from water damage, etc. TIA

Thompson makes a few good stains like Advanced. They also have this too Thompson's® WaterSeal® Products - ThompsonsWaterSeal.com (http://www.thompsonswaterseal.com/products/product_detail.cfm?prod_id=4They) Water Seal Plus Wood Protector which comes in 5 colors. You can brush it, roll it or spray it. I used to use a heavy duty Wagner sprayer but found a garden sprayer works just as well.

The lumber is light in color and I want to stain darker
and leave the grain showing. I also want it protected from water damage,

I would wait a summer season and let the new treated deck dry out. The wood needs to be dry enough to accept the stain

The oxy part here is you want a dark stain but want to see the grain. I have a saying for this "The darker the stain the less you see the grain " I wanted to bring that to your attention. If you are fussy and it sounds so, buy a small can and test it and let dry to see if you are happy with the look. If so then its not wasted. If you don't like the color and shade, all you wasted was a small can and not a whole deck you don't want to look at.

Thompson as bal suggested is good. Basic is the cheaper the stain/sealer is the worst it usually preforms.