There is no single pellet gun oil. It depends on what type of pellet gun you're talking about, and in most cases you need multiple lubricants for the same gun.
Spring piston gun tuners use as many as 5 or 6 different lubes on an individual gun. Don't use any petroleum based lubes in the compression chamber.
For rust protected on exterior steel, I like Rem oil.
Triggers can take almost any gun lubricant or 'action' grease.
For pump-up pneumatics, I suggest Mac-1's "secret sauce." I has been suggested this may be motorcycle fork oil. Some say auto tranny fluid works good too.
On pre-charged guns use only silicone diver's grease on the seals.