I have only ever used two pre-shave treatments, and they are both quite similar. First I used the Proraso Crema Pre Barba with Menthol and Eucalyptus. I completely enjoy this product as a pre-treatment; however, I never really experienced a noticeable improvement in my shave. When this ran out, I switched to Noxema as these two products are similar in consistency, and Noxema is far cheaper. However, Noxema does not have Menthol (does have Eucalyptus), and the experience is not as satisfying to me. I must add that my skin is not that prone to irritation normally. In summary, I have discontinued all pretreatment other than a facial wash during a hot shower, and I am no worse for wear. But I have read plenty about those that are prone to irritation find that Noxema or the Proraso Crema Pre Barba (Green Tea and Oat for sensitive skin) improve this aspect of their shave. I should point out that both the Noxema and the Proraso products are water soluble. I would apply it just prior to applying lather.
My facial soap, my shampoo and my body wash is all the same product, and is essentially a Castle (Olive Oil) soap that I make myself with 10% coconut oil for a little cleansing, 5% Shea Butter and 5% Castor Oil. I originally found this as a baby soap recipe, and it has a high (8%) super fat content (amount of fat that is not saponified). I have just started into my third batch of this soap, and I am happy with the performance so I have not changed it at all. My wife also uses this soap as a facial soap, and she is quite sensitive to drying. Although I have never used a oil pre-shave product per se, this soap does have a lot of conditioning (skin) properties. In my way of thinking, you want to have a well hydrated beard in order to have it prepared for shaving. Soap has wetting properties to facilitate this hydration. To me a pre-shave oil treatment would be counter intuitive as you would end up coating the whisker with oil, hence causing it to repel water. There are those that use and enjoy oil pre-treatments, and they feel they get a benefit from them.