Oh, please don't stain it. It is so much work and expense, and unless the piece of furniture is an antique or something very nice it is just not worth the labor. I am speaking from my own experience, of course, and others may disagree, but oh my goodness. My kids would be adults before I was finished with a project like that.

Is it possible to clean it really well and to get rid of the crayon, paint, and pen marks? You could then do a light sand and put two new coats of polyurethane or varnish or whatever is on it now on to make it look newer.

As far as the missing bed rails, you could try to stain them to match, but it might look really nice if you stained them a different color entirely. Perhaps you could choose another two or three pieces of the set to stain the same contrasting color.

Good luck with your project.