Personally I use it on all the fuel injection/ignition plugs under the hood except the Oxygen sensor. I remember reading on the Brickboard that the O2 sensor should not be greased (but I forget why).

It is one of the first things I do on a newly acquired car as most connections have been neglected in the previous decades before getting to me. I clean the connectors and put a small amount of grease on the female side.

Randy