Grease for PLA sprocket
I use cosmetic vaseline - petroleum jelly. Usually it is white to transparent and odorless. It's cheap and available in all drugstores and cosmetics stores.

As suggested by Tom van der Zanden I'm adding additional info about interactions of vaseline and plastics.
I've found many web sites which claim that vaseline can damage plastics but none of them really proved that statement. There is nothing about it neither on producers sites nor wikipedia or any other believable sources I've found. So according to it and my practice I'm pretty sure that vaseline won't damage popular plastics (including common filaments).

The only information I've found is that vaseline can damage natural rubber but I cannot confirm that on my own.

Of course it might not be true for some materials so be careful and check the interactions first on invisible side or on refuses.