Like any components that do mechanical work, the moving parts of a paintball marker need to be lubricated to prevent additional wear.
There are two basic varieties of lubricant that are popular in paintball, oil and grease. Oil lube tends to be runnier, and can be dripped into difficult to reach portions of the gun. For this reason oil is easier to use on a greater variety of marker components. However, marker oil doesn't last as long before it needs to be reapplied.
Paintball grease tends to be thicker, almost buttery, and has to be applied by hand to specific portions of the gun. This can make it tough to reach some marker internals without taking the gun apart. However, grease tends to last longer, so you can go for a longer time before needing to reapply.
Only you, with help from your marker's owner's manual, can decide which kinds of lubricant you prefer, but it's a good idea to pick some up, to limit the wear on your gun, and we have a wide selection for you to choose from.