The osc I built had lower distortion than the osc in a HP3903B, I used a TL072, then a 5532 which was a tad better. It used a 727 28v 40mA miniature bulb for gain correction, and even worked well with the heaters of an ECC type valve. It had a sweet spot at 3v ish, dropping 10X THD, I was quite surprised. the best thing about it was it was very simple, unlike those more complicated designs above.
Another simple 0'004% wein bridge osc here -
http://www.turneraudio.com.au/thd-measurement.html it's similar to the design I built. Elektor also did a spot frequency low THD osc too, but it was more complex than JLH's. the problem with any really low THD osc is measuring it for us home builders. The OP doesn't say what he's trying to measure, but one of the simple design's built on copperclad board and cut with a Dremmel gets you good results, the whole sealed in a cast ali box, oh, and lets not forget the PSU.
Mine was pretty simple, 12 0 12v tfmr, 4 decent Nichicon 2200u caps, 2 in parallel for each rail, 7815/7915 as per datasheet, IE 0.1u caps on pins, protection diodes etc, very short wiring.
Andy.