Why is that in all the pictures I see the shooters have a little syringe filled with what appears to be oil next to them. What is this for.

P.S. I am not sure it is oil that is just what it looks like.

scotch, for when you blow the shot

That probably isn't oil but grease that they put on the bolt locking lugs to prevent galling.
Those benchresters are picky about their equipment. Good question, though!

Butch!!

Yes it is grease for the locking lugs, but also for the cocking ramp. A galled cocking ramp or lugs/lug seats makes for a bolt that won't function smoothly. ALL Bolt actions should have their locking lugs and cocking ramp greased on a regular basis.