Massage oils are pretty easy.
First you need a carrier oil (olive, sunflower, almond... That kinda thing), and then mix in your essential oil/s at 1 part essential oil to every 10 parts of your carrier oil.
It's important to use proper essential oils if at all possible, not the frangrant or scented oils. These are synthetic and aren't always good for your skin.
Lavender is probably the most popular and easily accessable essential oil (not to mention one of the cheapest - as a comparison, 10ml of rose oil will set you back over $100
), and it has soothing and healing properties... It's your general all-purpose, all-healing oil.
It's probably best to steer clear of citrus essential oils when used in massage as they tend to make the skin photosensitive.
Hope that helps.