Basically, you grease threads, and you oil bushings and other surfaces that move and are, therefore, subject to friction. That is, except ball and needle bearings, which you also grease. You should also grease metal things that fit concentrically into other metal things.

I'm not going to endorse specific producs, because pretty much all grease and all oil works pretty well (if you want to know more about what makes a good grease good, read here). But I'll make one exception to that rule. I've recently been using a chain oil called ProLink, and I've been using it wherever I'd normally apply oil to my bike. I mention it because of its special utility for triathletes. It's both an oil and a metal treatment, and its unique aspect is that it sheds dirt and grime. My bike's lubricated parts actually come back cleaner after a ride than when my ride started, opposite of most oils. There is also the claim that parts last a lot longer when protected by ProLink. I don't yet know whether that's true, but the Wippermann chain I'm now using on my Campagnolo 10-speed road bike has several thousand miles on it and is still going strong. ProLink's import to triathletes is simply this: You guys don't clean and lubricate your bikes very often. For you, better a grime shedder than a grime magnet. ProLink is made by ProGold and you can get it at a lot of bike shops.

When you put a bike together from the ground up you notice a lot of threaded parts, two of which occur on the frame itself, the rear derailleur hanger and the bottom bracket, and maybe the holes where the dropout adjustment screws go, if you have them. Then there are the chainring bolts and pedal axles. One thing: some people like to use anti-seize instead of grease when installing bottom brackets into the frame. I have no problem with that.

Then there are the parts themselves that need grease, and some bikes have them and some don't. The headset (either ball or needle bearings and cups), the bolts and nuts in your stem, seatpost, etc., all have threaded parts. Grease all that stuff. The Shimano and Campy stuff, brake calipers, shift levers, derailleurs, are usually already lubed at the factory.

You should also grease your seapost where it goes into the seat tube, and your stem quill (if you have a quill stem which you probably don't), and your BB axle (this is only important on squarehole cranks).

Certain metals don't make for a good match period, and all the grease in the world isn't going to help. The best example is titanium, which likes steel and aluminum fine, but doesn't like to be against another titanium thing. So, for example, if you have a titanium stem with a welded on binder mechanism, better to find a bolt that is not titanium. This is mostly confined to threads, however, you are not going to have a problem fitting a titanium stem or seat post into a titanium frame.

How much oil should you apply, and how often? Follow the manufacturer's recommendations. You'll find that your expensive oils will last a lot longer if used according to the oil maker's specs.