Thanks, guys...your input has been helpful.
I basically went with the recommendations of a couple folks from Sword Forum.
I'm not too familiar with the different kinds of wood, though I did email some questions to the folks at Aikiwood. They recommended jatoba for its weight and ability to hold up with paired kata.
I did sand down the bokken, and this is what it looked like under the finish. The still-lacquered jo is below the bokken for comparison:
I didn't think about how some exotic woods splinter (shudder), and I hope the same thing doesn't happen with my new weapons. I did take the jo through its paces the other night with some paired kata. I still think the lacquer is a pain, but it held up to impact very well. No odd vibrations or anything.
I also didn't think about the dowels getting loose. Again, I just hope that my stuff will hold up. We'll see, I guess.