To put some technical detail on this, going from dry to lubricated threads drops your thread friction by approximately 30-40% on zinc/chrome coated fasteners. So for the same torque on the nut, you're putting 30-40% more preload force into the stud, which is typically far beyond the yield strength of the stud. Do this a couple of times, and SNAP goes the stud because it's been stretched and close to ultimate failure.
Never use anti-sieze on lug nuts! A little anti-sieze on the hub bore is fine if you're worried about the wheel corroding to the hub.