WD-40 is a great water displacer and light lubricant, but it's "lasting" properties are a little lacking.
I like Break-Free (CLP) for everything else that requires metal to metal contact/rubbing/friction. We used it in the military for lubricating just about everything. It's a cleaner, protectant and lubricant all in one and I've never had a nut or bolt that couldn't be removed after a good dousing and the right wrench.
It's also the best thing going for guns. It was initially developed for gun usage, but the military found it was great for everything else as it has replaced several older Mil-L-xxxxx lubricants.
Here's an excerpt from Break Free's site:
Break-Free CLP Performance Gun Care Products meet the U.S. Military specifications for use on weapons and weapon systems. The U.S. Military, NATO, and over 30 militaries around the world choose to use this all-in-one cleaner, lubricant, and preservative to keep their weapons combat ready and dependable in battle under any conditions. Break-Free CLP passes over 14 U.S. Army and NATO performance tests that include baking to 150 degrees Fahrenheit and freezing to minus 40 degrees Fahrenheit, sea-water immersion tests, and intensive, extended firing tests.