Lubricants come in a whole bunch of varieties. You can find oil-based lubes like Boy Butter and Stroke 29 that are great for jacking off, or Wet's Intimo massage oils, which are perfect for providing sensual massages to your lover.
There are also water-based lubes compatible with all toys, safer sex supplies, and varieties like flavors. Of course, silicone-based lubricants, which are all hypo-allergenic, are fabulous for sexual activity in water (like baths, showers, hot tubs, rivers, etc.).
Within each of these categories are different thicknesses and viscosities. Some are very thin and runny, almost like water, and others are thick and more gel or cream-like. Anything similar to cream is likely oil-based, which means that it is great for hand jobs and/or massages but should not be used inside the vagina.
However, while you should not use it inside, you can run yourself or your partner down with these creams or thick oils, and the lube is sure to stay where you put it. With more gel-like lubes, these are usually water-based and are designed to cushion wherever they are put. Like cream and thick oils, they are great for hand jobs and jacking off, but because most of them are oil-free, they are also safe for use inside the vagina and anus.
You can use thicker gel-like lubes for any type of sexual activity you want. Still, they are excellent for anal penetration to reduce friction and risk of pain/intense pressure, vaginal and/or anal fisting, and sex intentionally rougher in nature or maybe going on for a longer time.
The thicker gel helps to cushion the vaginal or anal walls, allowing for more play without reapplying, and it stays in place better than a more liquid-like lube would, especially over time.
Lastly, the most common type of lubricant that you will see is more of a liquid base. Some of it is thinner, others are thicker, but it pours out of the bottle more than it oozes. Many folks like this type of lubricant because it is easy to find, easy to use, and replicates natural vaginal lubricant more than gels or creams.
Additionally, it is easy to put it where you want it and makes for quicker clean-up, as it is simple to just wipe it away after sex. If the liquid is oil-based, keep it external otherwise, both silicone-based and water-based liquid-like lubes are fine for use anywhere and with condoms/gloves/dams. Just make sure you have some on hand...literally!