Yes, I have used olive wood quite a bit ... one of my favorite woods. . It turns well and is quite easy to finish using CA, and other finishes also.
I have also used padauk and cocobolo ... they tend to be less easy to turn and finish because of their more open grain. . Bubinga is quite nice.
My favorite Nth American wood (after olive wood) is Arizona Desert Ironwood ... a dense wood and finishes very nicely. . If you can get them, the Australian burl woods are superb, but getting expensive as well as rare. . In recent years I have used a lot of "acrylic" blanks ... there are big differences in how well they finish (ie. shine) ... but am getting back to woods now. . Feel free to ask about the "acrylics" if you wish ... Rhinoplastics take a nice shine but require a little care when turning because they are brittle. . Alumilite is very fun and easy, but not so good for shine.