First of all, use the right oil. Many people swear by light olive oil, but I generally prefer safflower, grapeseed or canola oil for the least oil smell/taste. Secondly, mayonnaise is mostly oil, so you need to add other ingredients to offset this richness/oiliness. Vinegar (pickle jucie!), mustard and lemon juice not only support the emulsion, but they also make the mayonnaise taste less overwhelmingly oily.