Which threaded fasteners on a bike should not be lubricated?
Basically every metal-in-metal thread on a bike should get some kind of treatment, because at the very least none of them are perfectly corrosion resistant, and as you say, thread lubrication helps with tightening. What it really does is greatly reduce all the many factors that create friction in threads, usually into the negligible range, so that a given amount of torque applied to the fastener gives a more controlled amount of thread preload.

Most manufacturers say to install plastic bottom bracket cups dry.

Many have observed that over time, medium Loctite does a better job preventing loosening on M5 rack and fender bolts than grease.

Disc caliper and adapter mounting bolts are usually Loctited, or left with their pre-applied threadlocker. Probably the big reason is to ward off grease contamination.

Cantilever brake mounting bolts on brakes without an integral pivot are kind of an oddball, because tightening them in the 8-10 Nm or thereabouts range that applies to most other M6 bolts can result in the tip of the boss getting deformed. They should have medium threadlocker applied to the internal thread and then be very lightly torqued, around 3Nm. Because of the low torque, there's little thread preload and grease may make it loosen. But only plain pivot types - brakes with integral pivots, where the bolt shoulder or washer is contacting the brake and not the post, need a more normal amount of torque. 

It's good to use anti seize instead of grease on all titanium threads, to prevent thread galling and seizing. I also use it on track cogs and singlespeed freewheels, because it helps ensure they can come off easily again after a hard life of constant torque. You can use it in a pinch on any thread you want to lubricate, the downside being it's messy.

Bearing grease is the normal practice for all threads on a bike you want to lubricate, because it's cheap, does the job well, and you need it anyway.