I don't have a definitive link, but the answer to the basic question is- sort of. They don't use pine tar, as that would leave a residue on the gloves; but they do occasionally use other substances that are more subtle.
According to a user on the ModSquadHockey forums, one common practice is to rub the tape against some more tape - the sticky side, that is. That would apply a little bit of the sticky substance from the tape (and probably also make the tape on the stick a bit rougher). I've not seen anything saying NHL players do this other than forum posts, but it seems a fairly common recommendation (to make a ball of tape or reverse-tape a stick, then rub against your stick).
You also commonly see candycane patterns - that is, areas of tape and no tape diagonally wrapped; this gives more grip than tape all the way because it gives you more contours to get grip on. Lots of Youtube videos showing you how to do that out there.
Finally, they make composite shafts that have a rubber-like grip built in; I'm not sure if NHL players use those or not, but they're fairly easy to find; this discount hockey store has some examples.