I always use silicon grease on all threads and seals when doing plumbing work. Not sure if it makes them last longer, but threads are easier to snug up, and seals seem to seal better. Also, and this is the major issue, getting things apart in the future is much easier. For non-plumbing jobs, stuff like anti-seize is also useful on threads you want to get apart later -- lug nuts, stuff exposed to the weather, etc.
73 /paul W3FIS