Warming any oil is better for application on the skin, but not too hot. As long as it is a little over body temperature is fine. Also helps the oil to soak in. A lot of people use almond oil or coconut oil, if you use any unscented oil you can always add a fragrant essential oil to it as well to give your subject a bit of variety (ie if the person you are massaging likes a certain fragrance etc).
Baby oil is not the best as it is designed to soak into the skin very quickly and for a massage this is not what you want, the oil needs to help with the movement of your hands and allow a greater level of sensation and comfort for the person being massaged.
It is really personal preference whether you use an unscented or scented natural oil, a properly made massage oil or even a moisturising cream or aloe vera skin cream or extract, they will all work differently for different people. But give the baby oil a miss.