Maybe I'll learn about this the hard way. I've got a steel bike that I use on rainy days, and I park it out in the rain. After about six months with lots of rain, I've seen the traces of rust in the allen cups, and when I changed out the crankset last month I found that the grease in the bottom bracket was rust colored.

I know the rust-colored grease is probably a bad sign, but it's not that great a frame anyway, and I'm curious to see how this develops. I read somewhere that a thin layer of rust actually protects the underlying metal.