Well first, let's define terms.
Glaze is what you use to hold in the window glass on wood windows. This is a putty like material, you shape it and then press it into the corner between the window frame and the glass. It is on the exterior of the window. It then dries, but remains slightly flexible to seal the window. Over time, this will become hard and brittle, it will crack and you have to chip it out and replace it. How long glaze lasts depends on weather exposure.
@Sanitary Engineer you need to reglaze your windows. "sealing" themselves with ice isn't acceptable, and you are allowing damage to occur. Do it next spring/summer. All of them. Wood windows will last forever with proper repair and maintenance - and that includes regular painting, glazing, caulking, and storm windows. Do not replace the windows, you'll get no better performance than properly maintained wood windows and you will spend a heck of a lot more on them.
Caulk is a more fluid substance, more similar to a cream, that is applied then smoothed, then allowed to dry, where it will typically remain flexible. Different types of caulking are used for different applications, and base material influences how long it lasts. Caulk can be applied both on the interior and exterior of a window. Interior caulk typically will help seal the small gaps between the window and the window trim, this helps both with efficiency and with appearance. As it is interior, it isn't subject to degradation from the elements.
Exterior caulk is a different formulation that can better withstand the elements. It is often applied to the join between the window and the exterior wall, to prevent water intrusion, however as lthenderson stated this varies based on the type of window.
All forms of caulk will eventually degrade and need to be replaced. Often this is indicated by the caulk hardening and beginning to crack, but the type of caulk may show degradation differently.
If your caulking is 10 years or older, it needs to be replaced. There's a VERY good chance it needs to be replaced before that, but depending on type, location, etc it'll vary. If in doubt, replace it.