Both oil and lotion are great for massages, depending on what effect you want your message to have. Different massage oils work differently for different people. While both act to lubricate and moisturize, they achieve these goals in different ways.
Oils tend to provide long-lasting and more deep tissue relief than a lotion. Lotions are lighter weight and provide an ultra-moisturizing effect that combines with the natural oils on your skin. Experiment to see which feels best to you.