Personally, I wouldn't lubricate anything until I found out what was squeeking.

The way you pinpoint the source of noises in machinery is with an inexpensive tool (typically $15 to $20) called a "mechanic's stethoscope" which you can buy at any place that specializes in automotive mechanic's tools:



You simply touch the metal probe of the stethoscope against any part you suspect of making noise, and the closer the probe is touched to the source of the noise, the louder the noise will be heard through the earphones. In this way, you can quickly and easily pinpoint the source of noises in all kinds of machinery, and that includes finding out where that squeek is coming from in your furnace.

I have a $15 Lisle mechanic's stethoscope that I've been using for over 20 years to find the sources of noises in the machinery in my apartment block, like the washing machines and clothes dryers. For a cheap tool, it works surprisingly well.