Thicker lubes tend to work better, also make sure that you aren't sensitive to anything in the lube. I used to use Maximus, which was great until I developed a sensitivity to it - now I use Probe Thick and Rich. A bit less thick, and a little stringy, but not expensive, works well, and doesn't trigger any reactions/burning.
If you're not using rubber/latex you can use oil lubes. They don't have the dry out problem, but they are a little harder to clean up after.