Different lubes are best for different applications I found.
For all on sex a silicone lube called magnum in a black bottle is the bomb. Does not dry out and does not give my lady a problem with clean up. For hand jobs she uses quite a bit and I have to say because of this her hand jobs have improved enormously.
For anything with urethra we use KY. Any kind seems to work as long as it is kept as sterile as you can. Treat it like eye drops and don't touch the tip of the tube to your skin. Drip it on.
For anal the silicone works OK but the thicker consistency of Vaseline seems to aid on comfort.
In the water silicone or Vaseline is a must. Lots of physics going on there with water solubility etc.
When I am masturbating I my favorite is Vaseline intensive care lotion in the yellow bottle. No lanolin that burns and the thickness is real good for creating just the right amount of friction.