Here is a master list taken from EF. It is a pain to find all this info, on the fly, so I compiled it for all my EF loves.
Materials that can be used with all lubes;
E-Glass or Cyberglass
Pyrex glass and Tempered Glass
*= Site does not say compatible with Oil based, but I see no reason why you can not use it. As an example, Silicone is used for bake ware where we use oil, same with ceramic and stone. Now, this only pertains to material safety, as in it will not damage the toy.
Materials compatible with Silicone/Water based lubes
Acrylic aka Lucite
AquaGel aka Jelly and Jel-Lee
Better than Real
Food Grade PVC
Polyurethane (PU) and PU coated Plastic
Rubber and Rubber cote aka Velvet Cote
TPE and TPR
Vinyl and Vinyl Rubber