sebum

This is the main secretion of the skin's oil glands. This is a fatty substance that, when the body temperature rises, coats most of the face and hair. The reason for this is to keep from losing too much necessary water.

Sebum also serves to insulate the skin slightly in colder weather. Wash the oil from your face and you are marginally more likely to get frostbite. And sebum is responsible for body odor. There is bacteria living on our skin that consumes the oil, and the odor is a (waste) byproduct.