When performing the jelqing exercise, you will need to apply a lubricant on your penis.

Do NOT use soap or shampoo! These can irritate the skin when applied vigorously and for long periods. It can also dry out the skin severely, causing it to crack and peel for a few days. Furthermore, it can sting if it gets into the hole (the urethral opening) at the end of your penis.

Vaseline (Petrolium jelly) works, but.. be forewarned.. it's greasy and makes a mess. Another downside is that Vaseline is so thick, it may not allow you to move your hand as fast as you'd like.

Baby Oil also works, but it is also very messy and leaves stains.

One of your best bets is using Vaseline Intensive Care. It cleans up fairly easily, is slippery, it lasts long, and lets you go as fast as you want when performing the exercises.