I guess everyone's 'head chemistry' is slightly different. Headlube stings my skin and my pores have a hard time absorbing it. Many people love Headlube, so each to his own!
I initially didn't care for HeadLube but have since grown to like it.
You really don't need a lot to get good coverage and so far, I have not experienced any burn factor.
Like Ward said, different body chemistry.
UPDATE:
So I did a little experiement that worked out great. I decided to add a dose of Headlube Glossy to a whipped up lather of headslick. Not only did I get a great shave, but I got a great shine after the shave without a greasy feeling. I believe the Headlube gets a chance to sink into your pores during the shave, and the cold water rinse closes the pores up, which prevents any 'greasy' feeling post-shave; which is the best of both worlds.
Shaving with a combo of Headslick/Headlube is something to try for those of your who don't quite like Headlube post-shave.