a company called emerita (women owned, all natural) makes a lovely natural lube. it's paraben free, mineral oil free, and petroleum distillate free, but it is water based, and it does have glycerin in it. it's completely latex friendly, and it feels really lovely. depending on what you're sensitive to, i'd say you should check it out. most natural foods stores sell it (whole foods, your local co-op), and you can also get it online at emerita.com.
i don't use lube when i'm not using toys, because i'm pretty much good to go on my own, but i know many who swear by it.
good luck, also, with the first time! congrats.