Just about any oil will do. If it's going to be used to cut food, it's a good idea to use a vegetable oil or something else edible. 3-in-1 or WD-40 do the job, but neither tastes very good when you slice cheese with your knife. Personally, I do the same with my hunting knives, but I'm not sure it's really necessary.
You want to wipe on a decent amount and then wipe it off until there are no drops or pools left--you shouldn't see oil on the surface. There's still oil there and it will protect the blade without attracting as much dust, dirt and moisture.
