Coconut oil is supposed to be an awesome lube. I've never tried, but if I start using lube on a regular basis I'm sure I will.
It's edible, so that's nice. Apparently it depends on the quality how good it tastes, though.
It's natural, so your body should be a bit more willing to work with it than anything synthetic.
Some people really like the scent, so if you like the smell of coconut, that should be pleasing, too!
I had a friend at one point who swore by coconut oil.