I second the vegtable oil. Skin so soft, being an oil based product, should work well too. I've used vegtable oil to remove tar. He walked right through a "puddle" of it when we were redoing the roof
I don't think i'd want to spray wd40 in my child's hair for bubble gum- nor would i put something like that in my dog's fur. That's just me though. But wd40 works great on scuff marks from black soled shoes
olive oil, margarine, W-D 40, peanut butter,
Make sure you use a good dish detergent to get the oil out once the gum is gone, Dawn or Palmolive works great.
Toothpaste, the old fashioned kind, with a bit of abrasive salycilates in the paste (not the gel kind).
Rub the hair and the toothpaste between your fingers, and use a flea comb to comb it out. Rub with a wet cloth. Never fails for me! (toothy smile!)