I just have issues with using vaseline as a lubricant. Like you said it's messy as heck. And it has been known to cause irritation to tissues. It's generally not recommended.

They make many good lubes on the market and you don't have to pay an arm and leg for them. Although with astroglide, you get what you pay for in my opinion.

Kama sutra makes some nice oils. And they even have a pleasant warming effect. I wouldn't use them for butt toys though. I just have a thing about oily substances and my rear end.