I'm assuming that you are talking about personal lubricants because that's the only gel I can think of that you would use during sex.
Lubricants are used to get things more slippery down there which is favorable when you're trying to do it. Everyone makes natural lubricants but sometimes you don't produce enough during sex (which can be caused by several different factors and not necessarily because you aren't aroused enough) and, especially for the woman, it can cause pain and discomfort. That's why you would use lube to make things more comfortable for the woman but it also helps the man move easier if you know what I mean. And even if you and your partner don't have problems with natural dryness, lubricants can help stimulate both of your skin sensitivity, especially if the lubricant is really cold.
There are a few popular types of lubricants out there: Water-based, oil-based, and petroleum or silicone-based. Water-based is probably the safest to use when using a latex condom because oil and silicone can deteriorate latex. They are also the easiest to clean out from bed sheets, blankets, your bodies, etc. Silicone- and oil-based are good for doing it in the shower or in the hot tub because they are insoluble in water. But the fact that they are not water soluble could be problematic in cleaning, especially inside the woman where traces of these lubricants may carry bacteria and lead to yeast infections. So talk about this with your partner to see which one both of you think would suit your needs best.