I have extremely sensitive skin, and find shaving creams and soaps either irritate or dry out my skin. A friend suggested I try shaving oils. I started out with Shave Secret, which I picked up at Walmart. It works, but it's really viscous and tends to clog up my razor. Looking for something better I found a shaving oil from Pacific Shaving Company - Amazon link. I understand Bed Bath & Beyond carries it, but I've never seen it in my local stores.

It has a mild but pleasant smell, it doesn't irritate my skin, and at only 5 to 8 drops of oil needed per shave it lasts a long time. Bonus: it's TSA friendly.