What kinds of oils do I use on my face?

Hello,
I have been reading about massaging natural oils onto your face,
apparently, it keeps it blemish free, and makes your skin look great.
I want to try it, but, I don't know what kinds of oils are meant by "natural oils".
Is it a kind of oil that I can buy in a beauty store?
Or is it a kind of cooking oil?

Someone please explain this to me.
Thank you.