Lubricants to Avoid
It is important to use the correct type of lubricant on your bearings to prevent corrosion. Silicone-based lubricants are the most commonly used. Penetrating oils will only evaporate and will not leave a protective residue on the bearings. WD-40 will leave behind a residue but it will attract dust and grime to the bearings, causing them to degrade faster.
Light Oils
Light oils such as instrument oil are very low-viscosity. This means that they give very little resistance and improve speed but do not offer a great deal of protection to the bearings. This is particularly true if you are skating over distances, as the oil will heat up and become even less viscous, giving even less protection. Light oils are then only recommended for short-distance sprinters.
PTFE Lubricants
PTFE-based lubricants such as Teflon spray are popular amongst skaters. They are easy to apply and long-lasting. However they tend to be slightly more expensive than common automotive oils and greases. There are many PTFE lubricants manufactured that are specifically for skateboards and have properties engineered specifically for them.
Oils and Greases
Any lubricating oil or grease suitable for tools and engines will work in bearings. However grease tends to be longer-lasting, is easier to apply and attracts less dirt. Oil will be a little faster initially though after a few runs most greases will "break in" and provide practically the same speed as oils.