Anti-seize compounds are greaselike pastes that contain high concentrations of copper, nickel, aluminum, graphite and, generally, molybdenum. These compounds prevent the type of galvanic corrosion that occurs when dissimilar metals are joined together, such as when a steel screw or spark plug is threaded directly into aluminum. Additionally, they resist heat and moisture well, and will ease the future removal of things like exhaust-clamp bolts, brake-caliper bolts, or any other fastener that's exposed to the elements.
Besides preventing corrosion, lubricating the threads also reduces the torque variance between individual fasteners, producing a more uniform clamping force across whatever parts you're trying to hold together. The more even the clamping force, the less likely you are to experience gasket failure. Anti-seize is widely available at most motorcycle shops, and every auto parts store stocks it, and it's cheap, a lot cheaper than repairing stripped threads or broken bolts.
Beware, though: Many torque settings need to be reduced by about 15 percent any time a bolt is "oiled." Your shop manual should provide the necessary information. Lastly, anti-seize can be messy, so try not to lather the stuff all over the place.
For more articles on how to maintain and modify your motorcycle, see the Tech section of MotorcycleCruiser.com.