Agree with what has already been listed above.... Dicor on the Roof, Proflex on the exterior walls, trim etc...
DO NOT USE SILICONE!!!!! It has poor adhesion and UV resistance, it will break down extremely quickly and leak....
If you must use a cheap alternative I would suggest Butyl Gutter Caulk, which can be purchased from most hardware stores. It holds up quite well but will pretty much be there forever. It worked fine on my old hunting rigs, but I probably wouldn't use it on anything that you want to keep looking nice.