Chain lube goes on the chain. It's liquid and it drips on. We used to use "oil" for this but now there are lubes that are better engineered to provide lubrication without collecting dirt, washing off in the rain, breaking down chemically, etc. You also use this kind of liquid lube on brake pivots, derailleur pulleys and pivots. Probably not the same stuff you use on a chain although some products can serve both purposes. There's really not much more most cyclists need to do other than keeping things clean.
The average consumer of bikes does not need grease. Grease goes on unsealed (loose ball) bearings - wheels, headsets, bottom brackets typically. However a lot of these bearings are sealed now so you can't service them you just replace them.
Anti-seize compound is last. Like grease most consumers won't use this. Also, grease is often used in place of anti seize. This stuff goes on threads. Headsets, bottom brackets, pedals, and basically any little screw or bolt. It can also go on the seat post but you can also use grease for that.