Yes, baking sheets should be lined with something before popping them into the oven, microwave and even the fridge depending on what's cooking. Lining the sheets cuts down on the cleanup time and extends the life of the pans. Aluminum foil happens to be the most versatile of the sheet pan liners.
Foil can be pressed into corners and used when the heat is way too high for its lining cohorts: parchment paper, wax paper, and silicone. Foil beats wax paper, the least versatile of the sheet pan liners. Wax paper is good for sticky and delicate foods such as .
However, a wax-lined sheet pan can't go in the oven like a foil-lined pan. The heat will melt the wax lining into the food. Parchment paper and silicone mats hold up better as liners and are sometimes used interchangeably with foil.
Both can go in the oven and like foil are used for baking cookies, brownies, cakes and fish. However, parchment and silicone mats become a fire hazard when the recipe calls for high heat (above 425 degrees). Only foil can hold up as a sheet pan liner under the broiler and on the grill.
Three notes on using foil on sheet pans. When baking sticky foods like cinnamon rolls, nonstick foil is best. Standard can be used, but there is a risk of leaving part of the rolls on the foil or of pulling away small pieces of foil with the food.
The browning, sauces and marinades used one sheet meals can also create a stuck situation with standard foil. Nonstick foil ensures that all of the food ends up on the pla.