I agree, shea butter is great. Bulk Apothecary has great online prices for it. One slight downside it that it won't stick to your lips quite as well as a lip balm with some kind of wax in it. So just plain shea butter will need to be applied more often.
Or, you could easily make you own lip balm by mixing a little melted wax with the shea butter (beeswax or micro-crystalline wax, if you decide you are allergic to beeswax). Then you would have your own totally natural lip balm with no chemicals or artificial ingreidents.