Dave Whitlock uses quite a bit of glue, esp on his hoppers (can't argue with success!).

I generally use CA glues to coat underbodies (lead wire on the sides, etc), gel types for putting eyes on. For most flies I just use lacquer and what-not on the heads, and that just so it looks nice.

The exceptions are flies where the finishing knot isn't at the hook eye, but tied somewhere in the pattern. For these the cement is pretty much necessary to hold the wraps together over a large area (like on my crayfish pattern).