Thanks for the good question: I'm going to follow along; I went to a herbal type store the other day with that question in mind... didn't find much direction.
They did suggest jojoba oil. I tried it and found it didn't offer much glide compared to my realshaving co. shave oil.
I've also heard really good things about Olive Oil, even as a replacement for soaps/creams. (haven't tried that one yet though).