I have been using Extra Virgin Olive Oil instead of shaving cream on my legs and underarms, lately.
It's working like a charm. You only need a teeny tiny bit, and it helps to rinse the razor out very well every few strokes (or it gets kind of gummy from the oil). I shaved every day for a week, and my legs were completely soft and smooth every single day. Usually, shaving every day causes bumps and irritation, but I had none of that, and no problem eliminating stubble!
I have let the hair grow for a few days, and it seems softer and more sparse, also. I may be crazy, but I really think the EVOO is making a difference!
I probably wouldn't recommend this if you are prone to breakouts or anything, and certainly using oil on the face seems like a bad idea, but so far it seems to be working for my legs.