As far as I know, Lutherans do it. Mo Synod, at least.
Well that's a good sign. I know most of the mainstream Protestant Churches around me have steered away from this practice, or at least I haven't heard of them doing it any longer. Even some of the Baptist Churches have let it drop lately, but usually they at least proclaim to believe in anointing with oil, even if they don't practice it any longer. My family's home church, on the other hand, keeps a bottle of anointing oil on the altar just in front of the pulpit.