Any silicone or teflon based plumbers lubricant is fine.
The lubricant helps make sure that the threads go all the way together and don't bind up at some earlier point before the connection has sealed. The lubricant also helps insure that you can get the connection apart again later. And finally, the lubricant helps seal any tiny imperfections in the connection, so there aren't any leaks. The same applies to o-rings, they need lubricant to be able to move into the ideal position and to seal any remaining slight imperfections.
Petroleum jelly would work in the short run, but in the long run it breaks down natural rubber products, forcing you to replace o-rings more frequently.
