From Pope Benedict's homily in today's Chrism Mass at Saint Peter's:

Bread has to do with everyday life. It is the fundamental gift of life day by day. Wine has to do with feasting, with the fine things of creation, in which, at the same time, the joy of the redeemed finds particular expression. Olive oil has a wide range of meaning. It is nourishment, it is medicine, it gives beauty, it prepares us for battle and it gives strength. Kings and priests are anointed with oil, which is thus a sign of dignity and responsibility, and likewise of the strength that comes from God. Even the name that we bear as Christians contains the mystery of the oil. The word Christians, in fact, by which Christs disciples were known in the earliest days of Gentile Christianity, is derived from the word Christ (Acts 11:20-21) the Greek translation of the word Messiah, which means anointed one. To be a Christian is to come from Christ, to belong to Christ, to the anointed one of God, to whom God granted kingship and priesthood. It means belonging to him whom God himself anointed not with material oil, but with the One whom the oil represents: with his Holy Spirit. Olive oil is thus in a very particular way a symbol of the total compenetration of the man Jesus by the Holy Spirit.