Dye stains are generally more difficult to control, and very difficult or impossible to remove if you apply them too heavily. A Pigmented stain holds the tiny colored particles in suspension in a liquid medium. When the solvent dries, the particles lie on the surface of the wood. They will concentrate in sanding scratches, the open pores of the wood, and the nether recesses of carvings. Aniline dyes have been used by woodturners for a long time, but have several problems of which you may not be aware.
Manufacturers have difficulty maintaining consistent color between lots.
Anilines are prone to bleeding up through the finish and to fading in UV light. If you are intent on using an aniline dye, the water soluble type dye is the most stable. One of the newer categories of dye on the market is called Orasol dye. This dye is a metallic complex formulation which performs well. The only disadvantage of the product is that it must be bought in diluted form - it can't be bought and mixed at home to a chosen strength.