Coconut oil. It smells great and if you switch over to the bed, won't stain the sheets. It stays solid until body heat warms it up and it is not too greasy when used. It is also one of the few oils (in fact the only oil that I know of) that is recommended as a personal lubricant because it is safe for the female fun parts (midwives recommend it for before and after pregnancy to aid with prepping and healing the vagina). It is not safe with latex condoms, FYI and you should still be careful so as not to slip in the shower if the floor of the tub gets oily. Make sure you buy unrefined virgin olive oil, which can be found in the organics section of your grocery store or in health stores. It is a bit pricier than most oils, but worth it IMHO and it is what I use for my massage sessions.
Personally though, if I continue the massage in the shower, I just use a bodywash that has some oil content in it.
Cheers