There are dozens upon dozens of different lube brands on the market, but essentially the divide themselves into two types, water based or oil based.
Water based lubes
These are great for enhancing one on one sex sessions with your partner or when playing with sex toys. Water based lube provides all the slickness you need for vaginal sex (because of course the vagina produces its own lubrication as well) and phthalate free sex toys which warm to the touch. Sex toys almost always need water based lube to make the sensation of thrusting in and out easier and more pleasurable. Indeed, some of the love tunnels are so tight you would be hard put to penetrate them without lube and you could cause yourself injury or tears to the delicate skin of the foreskin if you tried to thrust in and out without a lube. Water based lube does not work so well for jerk off sessions because it can dry out quickly when exposed to air.
Oil based lubes
Oil based lubes retain their viscosity throughout your session and are therefore perfect for jerking off, whether solo or with another partner, as the lubrication does not dry up. Oil based lubes can also be used for anal sex where there is no natural lubricant and extra slickness is required. However, it is not advisable to use oil based lubes with traditional latex condoms as they can cause tiny perforations in the skin of the condom which could potentially spread an STD infection to you if your partner has one. However, the good news is, new condoms have been developed which are safe to use with an oil-based lubricant. Condoms such as Avanti or Trojan Supra are made out of plastic (polyurethane) and can stand up to an oil-based lubricant. They are stronger and thinner than latex, and are non-porous and non-permeable to viruses including HIV. They warm to the body’s temperature unlike latex and are hypoallergenic (which is important if you are allergic to latex). Be aware though that no condom, whether plastic or latex can offer a 100% guarantee against viruses, but they do lessen the risk.