Bullfrog Gel works for me. The alcohol-based gel doesn't give me the oily build-up most sunscreens do.
While the Bullfrog was out of production for a couple years, I tried physical (titanium dioxide and zinc oxide) sunscreens. It sat on top of my skin and collected dead gnats and dirt. After the first couple rides I started scraping the residue off with an old credit card before showering. (Wipe the card off with a Kleenex or paper towel as needed.) That didn't completely solve the problem, but it helped!