A bodybuilding competition would be rather difficult to judge if the competitors were fully clothed. Since the whole point is to show off your body, your body needs to be seen. Rather obvious, really.
Baby oil...I don't know. Do more reflective surfaces show up better under bright lights? Maybe something to do with shadowing emphasising the curves of muscles.
I doubt if they much care what sex the people in the audience are, as long as they're impressed.
My bad! 
