It depends on gun make-up and conditions under which it is to be used. You can use graphite on Glocks (very little and not too often) but Copper-slip is what the factory uses. Light oil is good for steel to steel contact and can easily be wiped off it becomes contaminated with dirt, sand, etc. Light grease is great for sealing up gaps to prevent moisture entry and is good for people never get around to cleaning and lubrication. At low temperatures it is often best to run the gun dry as lubricants can cause functioning issue.
In general see what the make recommend and e-mail them if you have any particular issues. Remember some gun can be damage with the over use of the wrong cleaning and lubrication products.