Olive oil is renowened for it's many many benefits. It's sunnah to use olive oil as well.
Abu Aseed said: "The Prophet (peace and blessings of Allaah be upon him) said: "Eat the oil and use it on your hair and skin, for it comes from a blessed tree." (Reported by al-Tirmidhi, 1775; see also Saheeh al-Jaami’)