Protecting the Finish
A light coating of gun oil is often used after cleaning to protect the metal finish from water and rust. According to the Hoppes Company, a leading manufacture of firearm cleaning products, light greasing should only be used when storing a firearm for a long period.
Internal Parts
Internal parts of a firearm need lubrication to avoid the friction of metal parts rubbing against another. Less viscous oil allows the parts more freedom to move while reducing friction. Grease is often used internally where the parts do not move.
Dirt And Carbon
The interior of a firearm becomes very dirty just from the dust in the air and in a pocket. Added to this is the leftover carbon from firing bullets. Grease is more likely to attract this debris and make a thick, immovable mess in the firearm. Excessive oil may have the same problem but a normal coat will not.
Cold weather
Cold weather can cause grease inside a firearm to become thicker, which may lock up an important part and prevent the gun from firing. Thinner oil does not have this problem.
Slide Rails
A touch of grease on the slide rail is often recommended to help smooth the movement of the slide during firing. Oil also works in this area but because it is thinner it may be quickly dispersed by the rapid movement of the slide.