I always anti-seize any threaded fastener I want to be able to undo later, unless there's a specific reason not to use it (TTY bolts, bolts with special lubricant, etc...).
I just did a brake job and a new set of glowplugs on a friend's Beetle TDI over the weekend. The brake hardware got the Permatex green lubricant, the hub/wheel mating surface & lug bolts all got a good coating of graphite/copper anti seize and the GPs got the tiniest amount of nickel-based anti seize (rated to +1400ºC).
I want my wife/brother/client/self to be able to change a flat on the side of the road with the car on the widowmaker and removing lugs with the tool in the trunk - that's why I always use anti seize!