Question: What are lubricants for?
Answer: Women do produce their own vaginal lubricants, but sometimes a little extra is needed. Lubricants help prevent irritation from friction during sex. With lube, sex toys will slide in and out easier, fingers and fists will glide inside her without tearing her vaginal tissue. Since the anus produces no lubricant of it's own, lube is essential for any kind of anal penetration.
If you are using latex, such as a condom or dental dam, be sure to use a water-based or silicone lubricant. Oil based lubes will break down the latex.
If you are using a silicone sex toy, do not use silicone lubricant. The silicone will break down your toy.
If you are having oral sex, avoid lube with nonoxynol-9, as it may make your lips and tongue numb.
Some notes about lube: