This article assumes a consensual, pausable encounter: either of you can slow down or stop at any point, and no product replaces that. Lubricant itself is a low-risk practice — what the risks here are about is pairings and ingredients, not lubricant as such.
Scope, on purpose: this article covers vaginal and external use. Rectal tissue is more fragile and less self-lubricating — the numbing warning applies most strongly there, and friction deserves even more attention.
Don't use lubricant to work around pain. Pain is a stop signal, not a lubricant deficiency — if penetration consistently hurts, that's a conversation with a provider (see 'When sex hurts' below), not a shopping problem.
And if dryness is persistent rather than situational — after menopause, while breastfeeding, with medication changes — a lubricant helps with comfort but isn't the whole answer. Hormonal and medical options exist, and that conversation belongs with a provider, not on a store shelf.