Anti seize should be use on a case by case basis. One thing to understand about anti seize it that the oils purge from it and it eventually hardens, and this can be problematic. Below is my basic rundown of how and where to use anti seize.
Typically I use it on bolt shanks (as someone suggested) to keep the bolts from corroding to the metal they are passing through. I also use it under bolt heads and sometimes under washers, but not always on threads. It helps to be able to visualize what kind of stress the fastener is going to be subject to. And I don't just mean shear or tension stress, but prolonged exposure to moisture or heat or friction from moving components, etc.
Sometimes I use it on fasteners that go into aluminum, but not always. Anti seize is abrasive and if a fastener is removed and replaced even semi-frequntly, over time, the aluminum threads can become weakened and strip. That said, I try to use studs in aluminum instead of bolts.
Stainless hardware always gets anti seize, or other special lube (where specified torque is involved. like on head bolts).
I used to use anti seize on brake parts, like the threaded adjusters and where brake shoes rub against backing plates, but no more. The hardening make things worse in those applications.
Tie rod ends, or other tapered fasteners, get a thin smear of it on the tapered mating surfaces. This helps upon disassembly in the future.
Lug nuts also get anti seize. Just a tiny bit on the threads, but more importantly, where the conical seat meets the wheel. If you restore vehicles and have nice paint on wheels, this helps make the paint last longer. It won't chip or gall at the mating surface.
Brake drums get a thin coat where the drum meets the axle flange. Again, this makes disassembly easier in the future. Note that using it on wheels, lug nuts or brake drums, it will fling outward and makes a mess, so use it sparingly and clean it off when you see it.
You can also use it to "coat" exhaust manifolds, but note that the burning off of it is extremely noxious and can kill you. Though it does produce a nice, long lasting aluminized finish.
