IMO, you should use some kind of lubricant.
The only material which should be tapped without some kind of lubricant is Cast Iron.
If you don't want to risk breaking the tap when threading steel, you really should use either lard or a special thread cutting oil which contains sulfur (that's available at almost all hardware stores for a few bucks).
The sulfur in the oil keeps the chips from welding themselves to the tap and locking things up.
I think using a thread cutting oil is especially important if your tapping small holes with #4, #6 or #8 threads.
Risking a broken or stuck tap is a high price to pay for not using the right kind of lubricant.
If your tapping aluminum by the way, Kerosene or Turpentine is recommended.