Two products come to mind, though I haven't tried them yet. So far I've used only the RS lube gel mentioned by yam, but only on the o-ring. I tend to keep the threads unlubed because over time a black slurry builds up from the oxide as the light is turned on and off, and it seems to hamper conductivity.
The following products may be just what you're looking for.
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Penetrox. A grease that is used to prevent oxidation on aluminum wiring connections. It's available at home improvement centers and hardware stores , in the electrical aisle, and at electrical supply houses. I have a small tube or bottle of it somewhere around here. When I find it, I'll try it. Here's a pic of a bottle of
Penetrox A. Other brands may be available too. Just be sure to look or ask for aluminum oxide inhibitor.
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"bulb grease". I saw this at Lowe's in the Lighting department a few months ago. The package said it's good for all electical connections, esp, light bulb threads to "ensure positive connection and easy removal". Also saw it at auto parts store.
Here's a link to what the tube looks like.