This article is from the VW Technical FAQ, by with numerous contributions by Jan Vandenbrande others.
A: Use Anti-seize on anything that you will disassemble again and is subject
to corrosion (water pump bolts, wheel bolts, exhaust bolts), but be
careful on sparkplugs and oxygen sensors (it contains lead which kills
the cat, make sure it's on the threads only).
Use Loctite Threadlocker (medium strength is ok) on anything you don't want
to rattle loose and you cannot use serrated o-rings: Brake bolts, etc.
I use anti-seize the most, and if you torque things right, I never had a
problem of anything rattling loose.
Note that Loctite also seals out air, and therefore prevents corrosion
which means that disassembly will also be facilitated, compared to
something rusted shut. A small tube of each goes A LONG way.
 
Continue to: