I'll actually disagree with Sheldon, at least mildly, on this one. I know for a fact that EAI cogs have slightly different threading than Suntour and Shimano, and that Campy is slightly different from all three. My personal experience has been that an EAI cog will slightly distort the threads on Campy, Shimano, and Suntour hubs and that from then on it will take a bit more effort to install any cog onto that hub.
Does this mean that repeatedly swapping from one cog brand to another will eventually strip the threads on a hub? I've never personally seen it happen, but it wouldn't surprise me to learn that it has.
All of this, BTW, is on track bikes which see several cog changes per night. On a "street" fixie where a cog usually stays put for months or years at a time, it's probably not worth worrying about.