I use anti-seize on my pedal threads. It holds up better than grease and makes removal easier since the act of pedaling will tend to tighten pedals over time. Grease on bolt threads is always a good idea. Also, remember, the left pedal is reverse thread -- turn clockwise to loosen -- while the right pedal is regular thread -- counterclockwise to loosen.
I had some peals installed at my lbs yesterday. i left a can of anti-seize next to the bike and when i got back the apprentice (this guy is my bane) had put them on without using it. I told him I was wanting to brush some on and he told me it was a bad idea b/c it wasn't needed and it would make cleaning my bike harder (i don't know what he meant by that. Anyway, i use these guys a lot and they give me a discount on everything so I just let it go; but this guy is full of **** right? I know I've seen pedals stuck on cranks before.
Edit: he also advised against a light layer of grease on my bottlecage screws saying they might work themselves out. That idea made a little sense though.