In 1927 Tullio Campagnolo invented the quick release skewer and it's been a gracing the bicycle ever since. Quick release skewers are mostly found on wheels and seatpost clamps but can occasionally be seen used creatively for other items requiring frequent adjustment on the bike.
It probably goes without saying but quick release skewers need to be tight for them to do their job. It's probably obvious that if the quick release in the seatpost clamp isn't tight, your seat will "creep down" during a ride. Also don't forget the fact that if the skewers aren't tight YOUR WHEELS MIGHT FALL OFF!!!!
Now that I have your attention, let's get to the task at hand. First of all, not all skewers are created equal or made the same way. If your skewer resembles the one in the pictures below, the following tip will help you out. If your skewer looks different (skewers by Shimano, as well as others, have a different design) this post might not effect you.
It's hard to say which application is more popular for a quick release skewer (adjusting saddle height vs removing/reinstalling the front wheel) but since I only have pictures of the skewer on a front wheel, we'll use that for our demonstration. Regardless of the skewers job, it can be maintained the same way as the demonstration below.
If your skewer squeaks, feels "sticky" or otherwise is hard to operate while actuating the lever... stop right there and go get some chain lube.
The squeaking, sticking and other issues coming from the skewer are coming from the pivot of the lever. The issue is that the lever (the black part) rotates around the main body (the sliver part) of the skewer and friction is produced as a result.
A couple drops of your favorite chain lube is all you need to free things up. Simply put a drop or two of lube in the area where the lever and main skewer body pivot. Note: do NOT use aerosol type lube as any over spray can, and probably will, got onto the brake rotor leaving you with little or no brakes!!
Once you have a couple drops of lube on the skewer, swing the lever from the "open" to the "closed" position several times to work the lube into the pivots.
You'll undoubtedly feel the skewer getting easier to operate as the lube works itself into the pivot of the skewer. Wipe off the excess lube with a rag and tighten down the skewer properly.
When a quick release skewer is properly adjusted you should notice resistance in the skewer lever half way through its swing from the "open" (loose) to the "closed" (tight) position. This adjustment is attained by rotating the nut on the side of the skewer opposite the lever. Righty tighty... lefty loosy is an easy way to remember how this works.
If in doubt of a skewers ability to properly do its job... REPLACE IT!! Although incredibly reliable, quick release skewers can wear to a point where they can't do their job properly.
How often would/do I do this on my own bike? Probably every 8 or so times I lube my chain seems to do the trick on the front wheel since that's the skewer (at least for me) that gets used most often. The other skewers (rear wheel and seatpost) I do less often as those aren't being used as much so I just kinda go by "feel" for them. When their hard to tighten or squeaking while moving the lever to the "closed" position I'll usually give them a little "love".