This question is a bit complicated for a brief reply, but most all horological instructional books cover it in fairly significant depth.
In short, for standard "time-only" watches, you should lubricate all the pivots, the mainspring, the pallet stones and/or escape wheel teeth, and the winding and setting mechanisms. If the movement has day/date, chronograph, and/or self winding mechanisms, there are other things that require lubrication as well.
The significant parts on the "do not lubricate" list include the pallet fork and rollers, the train wheels, and of course, the hairspring. If the movement is smaller than about 12 ligne, or if it's a "high-beat," don't lubricate the pallet pivots (the "breaking action" of the oil will adversely affect the pallet motion).
Be careful not to use too much oil, as too much is actually worse than not enough. Excessive oil will "migrate," and go where you don't want it, as well as leaving it's original location essentially dry.
Hope this helps!
------------------
Steve Maddox
President, NAWCC Chapter #62
North Little Rock, Arkansas
