How I missed this one is beyond me. Grapeseed oil and almond oil(if no nut allergies) make a very good homemade massage oil. I prefer to make massage oil bars rather than a liquid form. It is great for storage and melts nicely on the body. All ingredients edible of course.
1 part oil(grapeseed, olive, almond, apricot kernel, avocado oil)
1 part beeswax
1 part butter (refined shea, mango. cocoa whatever, cocoa tends to get rather hard)
I would recommend adding a flavoring also.
While beeswax is not generally found at a grocery store you can often find it in craft stores. I generally use ebay though. A pound of it is like $2, it isn't expensive at all and believe me it makes a lot. The butters tend to get more expensive though.
For a basic massage oil I would think grapeseed oil would be the best it doesn't carry a strong scent like olive oil would.