Unfortunately there is not just ONE type of sensitive skin. Everyone's skin is different and reacts differently to various types of ingredients, even in products that are advertised as 'for sensitive skin'. What's known to cause problems with many people though are alcohol based aftershaves and scents that are often added to soap/cream/AS/balm, but almost any ingredient can cause a reaction with some people.
I would therefore suggest keeping a list of ingredients for all the products you use and making a log of each shave and what skin reactions, if any, that you have. Eventually you should be able to pinpoint which common ingredient(s) are causing problems.
A few things that definitely wouldn't hurt is to try cold water shaving and, at first at least, avoid exfoliating and face lathering which can aggrevate the skin. Try bowl lathering and gently painting the lather on your face. I would also suggest using the fewest possible products during the course of a shave, keeping it simple. Then one by one you can introduce a more complicated pre-shave routine, post-shave products, etc. if you feel like it, all the while keeping an eye on any negative effect this may have. Of course none of this is worth anything if your technique isn't up to scratch!
For what it's worth, I realised after a lot of trial and error that I'm allergic to alum and witch hazel, both products recommended by a lot of people...