I use it often. Oil is simply easy to use and yields great results. So much so that I only occasionally use soaps or creams, and when I do, I'm not convinced to go back. With shaving oil, aftershave is generally not needed, which suits me fine as I never liked commercial aftershaves. And it makes for a very compact travel setup.
I use King Of Shaves Alphaoil, or Shave Secret. I also use a home brew consisting of castor oil, jojoba oil, with a bit of eucalyptus and clove essential oils for a hint of scent, analgesic and preservative properties. They all work great, and a little goes a long way.
A similar thing I use is plain old fashioned Noxzema cold cream. The stuff you might put on sunburns or the old lady might use to cleanse and remove makeup. It's an emulsion of water, fats and vegetable oils, with some cooling/analgesic oils, such as menthol and eucalyptus. More of a creamy consistency, it functions very much the same as shaving oil, moisturizes, cools and cleanses skin, and leaves no need for aftershave. Very easy to apply and use, yields as good a shave as any soap or cream.
I use oil often, but only as a pre-shave. Shave Secret is good and inexpensive, but smells like cloves. Antony's pre-shave oil is nice, but not as easy to dispense just a bit, as it has an open top bottle. I tried jojoba oil and it was okay.