-- Oil base, resin base and polyvinyl acetate caulking do not hold up. There are far too many better caulkings available to waste time and money with these old formulations.
-- Latex based caulking is inexpensive, can be painted and has medium durability. It is acceptable for baseboards and caulking trim around doors and windows. Avoid areas of heavy water concentration, such as kitchens and bathrooms.
-- Latex Acrylic caulking is the same as cheaper latex, but lasts up to 20 years. It is probably the best caulking for all indoor use as it is durable but has no chemical solvents. It cures by the evaporation of water and has more flexibility than straight latex caulking.
-- Most exterior and some interior caulkings on the store shelf are one form or another of thermal plastic sealants. They range from cheap roof patch to 15 year quality caulkings. Here price is an indicator of quality. Expect the cheaper caulkings to shrink and harden quickly, opening your joint to the rain again. Roof patching exposed to sunlight may last one year. The same material used to seal something down but not exposed to the sun can last for years. The one common dominator of all the thermal plastic caulkings is that it cures by having a solvent evaporate off. The more solvent in the caulking the more it will shrink. Although it is the "standard" caulking and it can do a good job, I rarely use thermal plastic caulking.
-- Butyl rubber and elastomeric caulking are both highly durable and moderate costing. They are good for general use and especially good for adhesion to masonry. One common use has been to seal the sill plate to the foundation wall. They are both more difficult to find in the stores as other modern sealants have pretty well taken their place.
-- Silicone sealant has many wonderful qualities -- except that it is rather expensive. It sticks to anything except masonry (at least one special blend of silicone is now made to stick to concrete too) and it is excellent in high water areas. Latex paint will not stick to ordinary silicone (although one type is now labeled as "paintable"). (If you do want to paint non-paintable silicone caulking, prime it with contact cement first. The contact cement will stick to the silicone and the paint will stick to the cement.) It is non-combustible and some high temperature types can be used around metal chimneys. One unique characteristic is that it has no solvents in it, rather it cures by a chemical reaction with moisture in the air. That means that it will not shrink at all and remains very elastic. It is primarily used for glass and tile joints. If it is curing too slowly in a dry environment, like indoors in the winter, mist it with water to accelerate curing.
-- Siliconized caulkings are touchy to talk about. Essentially they are marketing efforts to make something less expensive and attach it to the quality reputation of silicone. The problem is that no manufacturer ever says just how much silicone is in their siliconized caulking. Most of these are cheap caulkings that shrink badly.
-- Polyurethane caulking has been around in industry for a long time but on the consumer shelves only recently. Like the silicone caulking it is expensive, has no solvents, sets by reaction with humidity and cures to a durable rubber consistency. Life expectancy is somewhere around 50 years. In fact if it fails it is almost always because the surface was not clean, or the caulking was not pushed into the surface. It tends to be a bit stringy and is more difficult to smooth out than other caulkings. The primary reason you do not see a lot of it on the shelf is that it is very difficult to package as any air bubbles in the cartridge cause it to begin to cure. Despite this it is probably the best caulking on the market and it is the only caulking I will use on the outside of a house. That is just because I hate to caulk and I never want to caulk something more than once. If you caulk in extremely dry weather, as soon as you finish applying and tooling the joint, mist it with a very light spray of water, not enough to wash any off. This will help to accelerate curing and form a skin quickly, avoiding dust collection on wet caulking -- a trick from Alberta.
I was specifically asked about how well it sticks to pressure treated wood. It does not stick well to any wood that has been treated with a penetrating oil. It does not stick well to wood that is freshly treated -- like end cut treatment, sealers or stains -- here 6 months weathering is required.
-- Stove-pipe joint cement is high temperature and fireproof but cracks easily. It is used for chimney and stove-pipe sealing.
-- Acoustical sealant is the only caulking that will effectively seal polyethylene vapour barriers. It is an excellent sealant, but never really dries, so it cannot be used in any exposed area. In fact, its original function was to help sound proof drywall panels by providing a permanent cushion between the drywall and the stud.
-- Polymeric foam insulating sealant (foam in a can) is excellent for filling large openings. Most types available in retail stores are highly expansive, so do not use them to fill the space between rough and finished frames of doors and windows. When you see a good contractor doing this, he is using a non-expansive foam. Some of the retail foams are now specifically made as low expansion foams and are labeled "For Windows and Doors". Some of these cure rigid, not so good, and some cure flexible, less pressure on the frame and no cracking with movement. Read the cans carefully, or test one can before buying several. You can stuff fiberglass as usual into this crack, and then fill in the last inch with the foam in a can to finish insulating and mostly to air seal this joint.
-- Temporary caulking includes putty snakes and some cartridge materials designed to seal for the winter and be removed in the spring without affecting good paint. Use them on windows closed shut for the winter in place of less effective weather-stripping. To avoid problems, remove these caulkings on a cold day, not when the window is warmed from the sun. They will strip off paint that is ready to peel, but if you are careful, will not bother solid paint.
For any product that comes out of a caulking gun, I would recommend that you take a look at a Video on Caulking Techniques.