In the United States, at least, that's an excellent rule of thumb. In many cases, a police officer's primary purpose for speaking to you is to build a case against you. It is foolish to assist, even if you think you are completely innocent. See this talk by Professor James Duane and Officer George Bruch for a great explanation of why you should never talk to police. With our complicated legal system and rat's nest of legislation, the deck is stacked against us.

As for military, I'm not sure. Since the Posse Comitatus Act of 1878, which forbids use of military for domestic policing in the United States, we haven't typically deployed military domestically, but that is changing with a planned deployment of 20,000 troops on U.S. soil as we continue the slide into a police state.

Maybe the best policy is to say nothing to police and tell military that we appreciate their intent to serve their countrymen but regret that they were manipulated into their present role.