It depends on your skin type. If you're plain oily, then you're better off using carrier oils (ie. vegetable oils) like avocado or jojoba oils, which are non-greasy. On the other hand, if you're a dry type, then go for something like lavender oil, which belongs to the essential oil camp. There are way too many to name.
You can also find troves of useful info on all-thing-oil, be it essential or not, on the web. I believe there's a forum dedicated to this and only this, which I can't recall off the top of my addlebrain.
BTW, essential oil should always be used in conjunction with another carrier oil.