I use Mobil 1 0w40. Bought it and a regular oil filter at O'Reilly Auto Parts (equivalent to AutoZone or Advance), no problems whatsoever. When I bought the car, it had normal 10w30 dinosaur oil, and the car was sluggish until it warmed up a bit. The zero-weight is thinner at ambient temperature, reducing the amount of initial engine wear. 
I'm an insanely heavy driver (60-120 mi/day) so I'll be changing my oil often, every 7500 miles or so (three months).
If you're doing that much driving, and it's mostly highway, you might want to consider used oil analysis (UOA).
I do UOAs for both of my cars about once a year, and it led me to change the way I change my oil. My '91 318i is has a pretty significant amount of wear at 281k, so I use a pretty thick synthetic 10w40 or 15w50. I change it about once a year (~8k miles) with new filters every 4k miles to keep the heavy metal levels down. My '06 Mazda MPV prefers really thin oil (full synth 0w20), and it'll easily run 15k miles with 5k filter changes and fresh oil top-ups.
I use
Blackstone Labs and they really gave me an excellent idea of my M42's condition. They track something like twenty statistics (wear metals, oil viscosity, fuel dilution, oil acidity, etc.) over time and give you a quick expert opinion. The tests aren't all that expensive...they'll mail a free sample kit and only charge you $25 for the test results. For an additional fee ($15?) they'll rate how well the oil held up and estimate how much further you can go before an oil change would be required. IMHO it's a bargain compared to the cost of accelerated engine wear.
