I have used black all-purpose grease, Hi-Temp auto wheel bearing grease, white lithium grease, and some blue grease I found in the rail car prep area at work.
I keep one of these "Cajun Injector" syringes filled with grease handy when I am working on bikes, just throw the needle away and use the plastic part. I can lay a nice bead of grease right in the races, fill the gap between bearings in cages, and it lets me put the right amount of grease where I want it and stay clean at the same time. I saw them at Lowes yesterday for a couple bucks, but I usually get mine at the grocery store attached to a jar of liquid seasoning.