What is the best filler/material for small holes, dings and dents that will not shrink up or cause ghost lines under paint?
I like to use wood glue and toothpicks/wooden skewers/dowels for small roundish holes or very deep ones. For not so deep or wider/odd shapes I make a mix of wood glue and sawdust. Sands great and takes finish very well (even stain) - won't see it under a refin. If doing translucent finishes, it can easily be made to look like a knot in the grain by using a bit of a dark(er) stain on the fill (assuming the hole shape works for that - DrB's pup route fill would obviously not be a candidate for that - you gotta go opaque in such cases). If the hole is very deep and oddly shaped I might actually use a combo of dowels (etc as outlined above) and sawdust with glue.
I keep a bag (or multiple bags for various wood types) next to the(manual) mitre saw to collect sawdust. It is also good to have a mix of fine and longer fiber saw dust, for larger fills.
Another helpful tool (cheap too $10-60 depending on brand and size - you can get really huge ones, double edged with fine and coarse tooth counts etc), especially when using dowels (etc) is a Japanese style flush cut pull saw. Cuts down on sanding (basically only finer, finish prep, sanding required). I even use those sometimes on sawdust fills - overfill the hole, give a day to dry really solid and then saw off the excess before sanding (this will usually require a bit more sanding than with dowels).