Lube is great! And it's also very messy. It's meant to make sex a little wetter and wilder, so it's only natural that it'd ultimately get all up on your stuff and all over your body — it's a slippery slope.
If you're wary about getting lubed up on your (or your partner's) precious 300 thread-count sheets and Mongolian fur pillow, we get it (and you're very courteous). But nice bed linens aside, mess shouldn't be a reason to be afraid of lubing up. There are so many different types of lubes out there, and some are neater than others. Plus, there are plenty of techniques for application and post-sex clean up that won't make you look like you just had an oil spill in your bed.