Coconut oil best. Also you can use almond oil, mustard oil, Sesame oil. If you are in India i would recommend baby massage oil by Dr. Balaji Tambe.
Oil from coconut milk is super gooooood . U can prepare at home.. but requires lot of stamina (for stirring) ...
Before selecting any oil its better you researched on the web, as there are so many brands, its better to follow the reviews who have actually used the oil. By any day virgin coconut oil is good for baby Massage: http://www.maaofallblogs.com/2017/02/baby-first-coconut-oil-review.html/
The best baby oil that can be used for newborns are : lakshadi keram, which is good enough to increase the muscle bulk in infants, strenghtens the bone and helps in ossification of bones and makes the skin healthy and shiny. Another oil which can be used is vendha velichenna prepared from coconut milk, which is homemade as it contains no chemicals or the virgin coconut oil. Nalpamaradi keram can be used for baby's body if more skin complexion is desired.
With so many baby oils in the Indian market, making the right choice can be difficult but as a mom i prefer using a combination of different oils to use on my baby's skin.. I have been using the natural baby massage oil by the moms co and it has all the best oils you need for your baby's skin. Definitely a great discovery.