It totally depends on what alloy you are using! Quench an oil hardening steel in water you may shatter it. Quench a water hardening steel in oil and it may not harden!
Other methods include: air quench on air hardening steels, low temp salts for marquenching or bainite production.
All the various patent nostrums of several centuries: Urine, (suggested by Theophilus in 1120 AD, radish juice or worm water---some suggestions from a long list of Renaissance ones that can be found in "Sources for the history of the science of steel, 1532-1786"
Most of them come down to: water, brine or oil though.
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Thomas
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