I'm a huge fan of this:
http://www.finishlineusa.com/product...c_wet_lube.htm
So much so that I have given bottles to friends just so they will try it out and say, "Wow, that stuff is great!" and so Finish Line will continue to make it.
I just put a little on a clean chain (it is easy to use too much of this stuff) put a rag on the chain and back pedal a few times. I'll do this every 3-4 rides. The chain stays relatively clean, it wipes off clean and reapplies easily.
What's cool is after you apply it you can run your finger down your chain and literally feel how slick this stuff is. Then when you start to ride you'll also notice that your chain is all but silent on your gears.
Seriously, try it.