No, it's is not a must. Usually condoms come pre-lubricated so that lasts a while. Sometimes though, during intercourse, you may need more lube because it can get dry and painful. It's always good to have on hand for those dry days!
Most of the time lube use is a good thing ... esp for the ladys, it does make the condom use more effective. but remember nothing is 100% safe and a condom will break no matter how much lube you use!
The most common lubes to use is KY-Jelly-Gel or Super-Glide...now they have out some that smell great too!...just make sure its water base lube.