Kroil is great...but because it's harder to get I usually won't use it until everything else has failed. WD-40 is pretty basic, and there's a product called "Deep Creep" by Sea Foam that works pretty well. Deep Creep is actually kind of thick, but it works awesome if you give it time. For instance, you just got a new piece of old iron in the garage but don't have time or money to work on it just yet. Well, shoot the Deep Creep everywhere you can and it'll work for you in the meantime. By the time you actually get back to the machine, it'll help you avoid seized up parts.
One technique I like to use is gently heating the part, then applying the penetrant....it makes nasty fumes so be careful, but the higher temp really decreases the viscosity of the "junk" in the threads as well as letting the oil seep in better.