Shimano cable sets come pre-lubed, the housings have a light lithium or teflon grease in them. I usually don't lube new cables but I will lube them after they have been on the bike a while especially if I have ridden in the rain. I use Tri-Flo or Prolink Gold. Teflon coated cable sets or Gore-tex sets should not be lubed, the lube can cause the teflon to degrade and gum up inside the housing. Shimano housings have a teflon liner but it is thicker than the teflon coatings that some cables have so it is ok to lube Shimano sets.