I am a barber. I graduated from barber school a little over a year ago. This is my opinion:
Yes, it is possible to shave dry; but why do it? You can shave without soap, you can shave using just oil, or you can shave dry - but why do it if you understand how your hair and skin are built?
Water and lubricant are the two aids to shaving. Water softens the hairs. Water actually causes the "scales" of the hairs to open up and expose the softer tissues inside the hair to the razor.
Hot water actually causes the pores to spread open and push the hairs upward so that they can be cut off at, (or in a sense below) the skin line.
The purpose of any shaving soap, cream or gel is to hold the water near the hairs. Any type of soap will do. In the old days the barber would make up a mug full of foam from some simple bar soap, (that contained animal and vegetable fats) and he would rub, rub, rub it into your beard to get the hairs moist and open.
The barber would use hot towels before and after applying the wet soap in order to get the pores to spread open and push those hairs upward so that he could whack them off with his razor. Afterward he would use a cold towel or a cooling liquid like alcohol to cause the pores to contract and pull the cut ends back down into the skin so that your skin would feel velvety smooth.
The other effect of the oils in the soap was to give the razor its own "ice rink" to glide across. That is why today many of us shave using a pre-shave oil like shave secret.
Sure, you can shave dry. I have even been shaved using a fine powder for the razor to glide on. But if you just shave dry:
-you cannot get as close of a shave;
-you cannot get as comfortable a shave; and
- you ruin your razor blade. (how long do you thing a tile saw blade would last if you didn't lubricate it with water?)
You don't need anything expensive. And yes, a lot of shaving products are a big rip off. Anything that holds moisture to the hair and or lubricates your skin for the blade will do. You can use any old kind of soap. You can use even olive oil as a pre-shave oil. My colonel is a lifelong BBC'er and he shaves using Noxema skin cream as his only shaving aid.
You can buy shave secret oil at Walmart for only $3. You can buy good old fashioned shaving soap in a tube for only a buck or two (AND the non aerosol shaving soaps don't contain the alcohol or other chemicals that are bad for your skin that the aerosol propellants have!) But what you spend on soap or oil you will save on razor blades because they will last you much longer than if you shave dry.
In the end, whatever works for you is good!