The Oil Lord said: I've wrestled in both, but I prefer cooking oil (vegetable oil or canola oil) because it's much more economical, and much messier than baby oil.
Cooking oil is also safer in terms of taste. I find it extremely 'erotic' when placing my lips and tongue upon a lady's greased up flesh, savoring her every curve.
The only disadvantage to cooking oil is that once it comes in contact with your clothing, if your outfit gets drenched in oil, it's pretty much damaged and becomes disposable. It's a bitch to clean.