Caulking is actually a common name for what is properly called "sealants".
Contrary to the recommendations of almost every handyman book from the US, do not caulk on the outside of the house except where necessary to keep rain, driving rain and blowing snow from penetrating into the wall. Any crack that is protected enough from the rain without caulking should be left open. This is necessary to avoid serious structural damage inside our cold Canadian walls. (search keyword "wall" for the title "WHAT DOES IT MEAN TO SAY A WALL MUST BREATH?") Caulking, in both the US and Canada, does not stop heat loss from the house because siding is ventilated despite the caulking.
While the outside of the wall must breath, the inside should be literally air-tight. There is a whole section in the overview "Insulation & House As A System" found in the Nuts & Bolts section of the site that explains why and where to seal with caulking.
There is a wide and confusing range of caulking materials and unfortunately none of them will do every job. The questions to ask when choosing caulking are:
-- What will it stick to?
-- Can it be painted?
-- How long will it last?
You won't be saving money if you have to replace caulking often and some cheap caulking will harden and crack after only a few months. Consider all caulkings to have a shelf life of only one year. So all that old stuff in the garage, throw it out before you mess up a job trying to use it.