Sebum, the oil produced by the sebaceous glands in your skin, is your body's natural moisturizer. It's what makes your face look shiny when you haven't washed it, and what oozes out of a zit when it pops (besides pus). Sebum is a mixture of lipids (fats), glycerides, skin cells and other materials produced in the glands.
As sebum oozes out of your pores, it solidifies as a greasy coating on the skin's surface and acts as a barrier that holds in moisture. Sebum makes the skin soft and smooth, and it helps reduce water loss. Because of this, some people say that one way to moisturize your skin is to spread the sebum from one part of your body to another -- by wiping the oil off your face and onto your elbow, for instance. Does it work? Well, in theory it does, but excess sebum production is one of the causes of acne, and spreading sebum around could also spread bacteria, so that's definitely something to consider if you're thinking about trying this bizarre moisturizing method.