It depends on the materials which cleaner/lubricant I choose. I always want clean threads and so a quick squirt of WD-40 and wipe with a rag will often be enough. In places requiring loctite I will clean and apply without other lubricant. Never-seez is often used in marine applications where bolts are subject to salt water or chlorinated water. Where galvanic corrosion is a possibility (steel into aluminum threads) I always use an oil based lubricant/cleaner to reduce corrosion. In high heat areas like brake calipers the oil will boil off but enough residue will be left behind to inhibit corrosion.
So yes, I prefer to clean/lube threads rather than to apply dry fasteners.
More than you ever wanted to know about fasteners and lubricants from an engineering standpoint:
The Engineer's Companion/Fastener Design Manual, Part One
Lil Red
2009 Porsche Cayman 2.9L
Threaded Mode
