Depends. If you are playing a brass instrument, most chapsticks would be fine although you might have to clean the barrel a little more often. The waxes and oils in lip balms can interfere with the vibration of reed instruments; go lightly if you play one of these.
Chopsavers lip balm. Chopsaver lip balm was invented by a professional trumpet player to address the lip care needs of brass and woodwind players. Works great for chapped, dry, swollen or irritated lips even if you don't play a wind instrument.
Burts bee. Burrs bee products have soothing properties because they incorporate beeswax and may also have proplis.