There are no absolute rules. When a lubricant is required it is usually specified in the shop manual. As a general rule head bolts engaging cast iron should be lubricated with oil, and ANY thread engaging alumninum should be lubricated with an anti-seize compound.
I also use antiseize compound on wheel bolts/studs.
If you ever tour an assembly plant you will probably see than virtually all fasterners are installed without any specific lubricant.