Some that I've tried and liked and haven't seen mentioned here:
Qtica Lip Repair. I've had the same tube of this for way too long, but it's amazing, especially for overnight use, also under lipstick. It's in a creamy squeeze tube, and at .5 oz, there's quite alot of it. Some copy reads:
"Instant relief for severely dry, cracked, damaged and irritated lips. Honey and beeswax help to seal over cracks in the lips while hydrating the skin and extending lipstick wear. Retinal Palmitate softens lines and a built-in sun block provides year round protection from the elements. .5oz."
Apparently it's around $12 everywhere these days. I think the tube I have retailed at about $7.00. Qtica is a real "Beauty Supply" type item, not so flashy in the packaging, but really remarkable stuff.
Here's a site that sells it, lists the ingredients, and has some reviews:
http://www.folica.com/QTICA_Intense_L_r1566_1.html
It's pretty much like Carmex, but it's much less waxy, sinks in better.
I also just purchased Guerlain's Divonora balm, but I haven't cracked into it, yet. It's got an interesting flavor/texture, comes in a generous sized tube, costs US$20 at Sephora.
I also like Alba Organics TerraTints in Blaze for a natural pinky shade. These retail for $3 or $4.
I've got the Fresh Sugar balm, and it's really nothing special. It just smells/tastes like their vaunted Sugar line. I found it to be a little thin, actually. But maybe in colder climates, it firms up and does the trick.
Please note I live in Northern California, although I'm originally from Pennsylvania. My lips have never chapped/split/peeled/bled/fell off in the ten years since I've moved to CA as they did in the Siberian-like winters of the Allegheny Mountains.
"Bear's Fat", now that's the balm you need there.