I do things similar to Arnold, except for the water based coolant bit. I'm not set up for that.
Free cutting brass, nothing, no matter what the machining operation.
Aluminum, for turning and milling, and only if I'm having trouble with chips attaching themselves to the cutter, I use WD-40, which is pretty similar to kerosene, but smells good. For the most part, I machine aluminum dry.
For tapping aluminum, I use paraffin wax. It works great for this purpose.
Steels. It depends on what type. For free machining steel, I often don't use any lube if it just regular turning. For "mean" steels, like HRS, which doesn't seem to ever want to behave, I use Tap Magic, for turning, milling, and tapping. Same for drill rod and most non-leaded CRS.
For thread cutting steels on the lathe, it's hard to beat sulfurized threading oil. It smells. It does what it's supposed to do.
Dean