As others have said, Murray's is probably the most tried and true. It's the Windows OS of grease. There are some wonderful other options though depending on what kind of car show you plan to attend.
Tres Flores is one of the most popular if you plan to attend a lowrider convention or hydraulics/airbag competition.
Crisco is an amazingly versatile product - benefits include food-safe application, infinite shelf life, vegetarian, pleasant smell.
Bacon grease is one of my personal favorites. Had to stop using it because all the attention from the ladies was bothering my girlfriend. Benefits: ladies find it irresistible, smell lasts and lasts, works with absolutely anything. Disadvantages - you'll want a block-warmer in colder climates, as it solidifies at room temp.
Don't limit yourself to just Murray's!!!
Although you could - it is that good.