Another vote for coconut oil. I love the smell, and it's impossible to spill on your sheets/carpet, which is very handy once you start moving through the positions! I'll never get the stain off my sofa after i kicked a bowl of massage oil over whilst moving into a 69 ;-)
You can mix up your own all-natural gels and oils, too. I've used this nuru massage gel recipe before and loved being able to tweak it with a bit of aloe vera or whatever you prefer.
Generally, just opt for natural products over chemicals, and you'll be fine, but remember that everybody is different so find what works for you. xx