I bought some store brand airbrush lube when I bought my first airbrush. And, like Bill said, I think it's just glycerin with blue food coloring. I lubed everything with it. After a while, like Hkshooter said, it got sticky. So I cleaned it out and put a tiny bit of sewing machine oil on all the points where metal rubs against metal. I still occasionally rub a little of the lube on the needle, but usually I don't bother. The only thing the needle rubs against is the Teflon needle bearing, and Teflon is pretty much self lubricating. But, it's a little added insurance against a needle sticking and couldn't hurt.
The Iwata trigger has a pin that runs through a rubber O-ring, and that can bind if it's not lubed. I think most Iwata owners use a little airbrush lube here.
Don