It depends on lots of things 
For 01, which is your most common flat tool stock, oil quench is fast enough to get you past the pearlite nose in the TTT diagram. So oil is all you need.
Faster quench will just introduce risk of distortion or cracking. That risk is less for small parts.
Cold water quenches faster than hot.
Hot oil quenches faster than cold.
For O1 and smaller or thinner parts, cheap veg oil will do fine.
Low temp heat treat salts are often best of all (similar to hot blue salt and similar to chemicals you might need for explosives). These are at high temp when you quench – just above the temp at which martensite starts to form – but they quench really fast. So quench, hold a little while to even out the temp (and stresses) then cool further.
Molten lead baths were used no so long ago. Pure lead melts a little high so it was probably some alloy. Lead doesn't quench as fast as salt, and it is a bit more risky from health and safety point of view.
Heat treating develops a pragmatic view of heath and safety!
O1 is designed to be easy to heat treat. You can get something hard with a wide range of treatments. For best results, do exactly what it says on the tin/packaging paper (I've spent many hours of research to come to that conclusion).
Edited By jaCK Hobson on 05/09/2015 10:56:13
Edited By jaCK Hobson on 05/09/2015 11:01:38