A Sexual lubricant ("lube") is a liquid or gel used to prevent chafing or soreness during vaginal or anal sexual activity.
There are three main types of lubricants: oil based, water based and water soluble, and silicone based. Each has a different feel, advantages and disadvantages. They may be packaged in small 'single-use' sachets or small or large plastic dispensers. Some are liquids, while others are solid but soft. The latter are often more convenient, as they do not run.
Water based lubes are generally safe for any situation, safe with condoms, safe with insertables, etc. Their downsides are that they tend to dry out faster than many other lube types and some have an unpleasant taste. Adding a few drops of water will generally refresh the lubricity, but little helps with unpleasant tastes; it is therefore best to start with a flavoured brand.
Oil based lubes last better than the water based sorts, but will be absorbed more readily and so more will be needed. This is not usually a huge problem. A far more important downside is the effect oil based lubes have on latex products, including condoms. Every oil based product will degrade a latex condom very quickly.
Silicone based lubes last well, they don't seem to be absorbed as quickly as oil based if at all, and have very high lubricity. Most are also safe with latex condoms. The downside of silicone lubes is the damaging effect they have on silicone toys, so it is nessesary to keep silicone lube away from silicone toys. Using a condom on the toys is sensible as it limits contact with the lube, reducing the degrading effect of the lube, and makes clean-up easier. Silicone lube is quite persistent and takes some effort to clean off.
There are a number of lubricants available, ranging from those sold in ordinary chemists (drugstores in the US) such as KY Jelly, to more sophisticated versions such as Eros and Astroglide, as well as specialised lubes purpose formulated for anal sex. Note that there is little formulation supervision for these product in many places and a trial is best; advertising is easy while effective formulation and quality control are both harder.
Other substances can also be used for the purpose, such as Crisco and butter, but most natural materials should be considered oil-based lubes as they normally contain some oils
Take care not to buy or use a lube that contains spermicide if you have an suspicion you or your partner may be allergic or over-sensitive. Only latex safe lubes should be used with condoms - Vaseline is oil-based and does not qualify.