Some parts of your bike might require threadlock, especially modern, super light bike parts which have a low maximum torque rating.
There are a lot of different types of Loctite available, but the following have been tested for certain bicycle related jobs with success.
Loctite 222; seat post clamp bolts, Stem bolts, and anything else with a low maximum torque rating (3-6nm). This is a very light, red in colour Loctite, which you apply wet to the bolt thread, then screw in immediately. It dries after the bolt has been screwed in, and is light enough to unscrew easily. Tried and tested on repeatedly loosening titanium Stem bolts.
Loctite 243; areas which need to be torque down harder (10-50nm-ish). This is a slightly more solid locking fluid than Loctite 222, and is perfect for using in lock-ring systems, which require torque sometimes as high as 50nm. Locks down strong, but still allows for disassembly with standard Tools. Blue in colour.