Hey..I use vitamin E oil, mixed with sweet almond oil..it is definitely pretty oily and gloopy though! However, this is more to make me feel comfortable and not itchy, and I just wanted to say you know..not to feel bad if you get stretchmarks, because as you probably know, it is extremely doubtful that creams and oils can prevent them from appearing... I moisturised with all manners of the 'right' creams in the first pregnancy, about 2-3 times a day, my mum has no stretch marks, and I got them on my stomach,hips etc. The problem is not as simple as(as another poster wrote) your skin stretching and then breaking- well it would be, if it was the top layer of skin, but it's not, it's the 'middle' layer...so creams cannot penetrate there. If they could, it would be dangerous, and you would be porous enough to absorb your bath water!
The main problem is the hormone relaxin, which prepares your ligaments and body for pregnancy, softening it up (also the thing which gives you pelvic pain and back pain, unfortunately) - this affects every cell in your body, so all tissues are softer,more liable to break. My advice- keep active, support your breasts and bump with a good bra and maybe a belly band, don't gain excessive weight, and rub things in if it makes you feel good!(last bit sounded weird...you know what I mean!)