I usualy blue tool steel, or that's how it comes from the maker in the case of forged tools. I can't say I do this with my knives, but it makes sense.
The Japanese have a product called camelia oil that they use to keep rust off things. Unlike petroleum products it's pretty nice to be around. I'm tol Japanese women put it in their hair, so it's pretty nice stuff. The slightest dab worked into the tool seems to keep things nicely protected.