Here's a little rundown.
Water - the most universal lubricants. You can never go wrong with this lubricant. Since you're a woman, I'll go ahead and suggest Pink Water. Mine came with a handy pump and it is paraben free! Also, maximus is great! Or sliquid natural!
Silicone - This is not compatible with silicone/ silicone composite toys. It however is very nice for anal sex, it is also good for use underwater. I suggest Astroglide X or Pink Silicone.
Oil - Not compatible with condoms, and since many sex toys and safe sex requires the use of condoms these are my least favorite lubricants. If you choose to use one, be careful. I suggest Sensuous.
Wax - These are fun additives to sex, but as with oil they break down condoms. If you are going to use one, I suggest Rocket Balm or Flower Balm.
Some I've had some issues with:
KY Jelly - It is just too thick and unpleasant for me to ever try using again.
System Jo H2o - The flavor was awful, it stained my white sheets, and it was hard to freeze. It left me sticky and overall displeased.