I think you'll get different answers for the different gaskets. Many different ways will work. Here are mine:
valve cover - nothing
exhaust - nothing
water pump housing - blue RTV would be a safe bet. I like hylomar since it's easy to remove the parts but it's a bit more expensive than regular RTV.
Where there is just oil to be sealed (like oil pump or timing cover), I like to use brown shellac "indian head". Where there is water, Hylomar, or where a thicker material is needed (like oil pan gasket), RTV. I use the grey or black stuff for oil and blue for water.