The massage candle I used was oil-based, so it's kind of moot.
I prefer true blue massage oils, because massage is more than just the oil. Herbs and aromas play a huge part in the process, and herbal infused oils are easy to find at a good price.
I like the Kama Sutra line of oils, especially the mint-scented ones. Relaxing aromas + relaxing massage = Total ecstasy.