Spoke fluid jokes aside, some sort of lube/locker is great (and I say essential) when building a wheel. Folks use lots of different things (including olive oil, linseed oil, mineral oil, etc, and lots of different packaged compounds (spoke prep, etc.)) and everyone has reasons why theirs works best. I wouldn't use loctite or anything like that because it may become difficult to adjust your wheel in the future. I've heard different reports on other oils, some folks say that they make it too easy for spokes to unscrew (since they don't gum up in air) others say that the tension on the spoke keeps the nipple from unscrewing.

I use linseed oil because it lubricates during the build, then hardens a bit in the air to become a locker. I also like the smell (an acquired taste) because it reminds me of painting and wheelbuilding, which are both things that I like (though I'm good at one and really bad at the other.)