When should I not use WD-40?
Firearms - you should never use WD-40 to clean or maintain firearms. 
Drive chains of any type - because WD-40 isn't a lubricant it really will not work well on Drive chains of any type.
Gears of any type - WD-40 doesn't have enough lubrication effect to be useful on any type of gearing. Only specified gear lubricants should be used.
Locks - Use powdered graphite or silicon spray instead.