Are small air bubbles on the surface while applying wood finish normal?
It can be a problem when drying conditions are too fast for the finish to release the bubbles.  Here are some strategies to try.


Good quality brush, china bristle (boar) for oil  
Slight thinning (up to 10%).  
Drying extenders (retarders): Floetrol for latex, Penetrol for oil based paints and stains
Don't shake your finish, stir only (to prevent mixing air into finish).
"Tip off" slowly (lightly drag brush almost laying flat, no pressure) to integrate sections and even out finish.
HVLP spraying is within home user capability and pricing.