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My introduction to breathable liquids was the movie The Abyss. There is a scene (which I won't describe because it's a bit on the unpleasant side) that stuck in my mind. But it wasn't until years later when I looked into it again after my interest in liquid shifting (or whatever the cool kids call it these days) began.
I stumbled upon perfluorocarbons, some liquids of which have been used in experiments and treatments for liquid breathing and artificial blood due to the high solubility of respiratory gasses (O₂ and CO₂). These liquids can carry greater quantities of respiratory gasses than blood can. One example is perfluorodecalin. Perfluorodecalin I think is about twice as dense as water, but less viscous (so it flows even less thickly than water). It's clear and colorless (and I assume scentless and flavorless).
Some perfluorocarbon solids have some of the lowest coefficients of friction for solids, meaning that they are as close to frictionless as possible. A widely known solid perfluorocarbon is Teflon (a.k.a. polytetrafluoroethylene), which even geckos can't adhere to.
Perfluorocarbons are pretty inert, too, thanks to their strong carbon-fluorine bonds. They're exceptionally hard to break. The only thing that'll happen if you drink a perfluorocarbon liquid is you'll pass it out of yourself sometime later. It can't be digested or metabolized.
I decided that Arthur had perfluorocarbon-like properties in its liquid form, which it can then transform into a solid coating. Instead of being encased in vinyl or latex, it encases you in Teflon, which helps in preventing the vict— er, willing participant from escaping. Too much slipping about in place. That pesky low coefficient of friction in action, of course. It makes it hard to hold onto things when they keep slipping out of your paws, too.
And, of course, there's a naughty application or two of this, too, but I'll have to elaborate on that at @ArthurAfterDawn sometime later, haha.