When I need something other than water I use Parks #50 quench oil. I bought a gallon years ago for about $20 and it has lasted a long time. The only thing special about a quenchant is how fast it takes a piece of steel from a specified high temperature range to a low one. Generally speaking, a water brine is about the fastest quench, but it can cause distortions and cracking in some instances.
Interestingly enough, steels that are listed as air and water hardening can also be oil quenched, it might not lead to optimal hardness in the water hardening steels, but frequently comes with less distortion.