@ddljohn, @turkay1-- You're right. The best shaving soap I've ever used was made of 100% goat's milk. It worked great! Beer soap is another that works well with shaving because it lathers more.
I actually think that any bar of soap that is labeled as "shaving soap" should have no problem lathering or keeping lather because soaps get tested for their properties and are given points according to it. I know this from my brother-in-law who makes homemade soaps. He gives each of his soaps points based on how creamy it is or how well it lathers.
But I do agree that shaving soaps with a lot of chemicals and perfumes end up drying out skin afterward. So it's best to stick with more natural ones with less perfumes and that are actually labeled as "shaving soap." The organic store in my neighborhood has quite a few good options.