I use a very "old-school" type of chain lubrication. I dip it in hot (liquified) paraffin wax and let it sit for a few minutes. The chain heats up, the joints loosen, the old dirt falls out, and the wax seeps in to all the nooks and crannies of the chain. I pull the chain out, and it's magically shiny -- a thing of beauty. It cools, and has a slightly waxy feel (can't imagine why). Goes right back on the bike and I'm good for a couple more weeks of daily riding.
The hidden beauty of chain waxing is that it is (as far as I know) the cleanest form of chain lubrication. It's dry and absolutely does not pick up dirt. Which means it doesn't get the rest of the bike dirty nor you dirty. Most liquid lubricants inevitably pick up dirt and just getting near your bike will give you a "tattoo". A needless mess, whereas I can rub against my chain all day, even with long pants on, and.. nothing.
So, if it's so advantageous, why doesn't everyone do this? Well, it's a bit of a hassle to get set up. First, your chain should be removable from your bike without tools (see Update 1 below). Then you need a pound of paraffin wax (this is widely available at most grocery stores in the "canning goods" aisle.) Then you need something to heat it, and here's where it gets tricky. You have to use something that will melt the wax but not heat it above its flash point or you will have a big fire on your hands.
For a long time I used a coffee can with my wax melted into it and set that in a large saucepan of water. Just like a double-boiler in principle. This has worked fine, but my dear wife has finally had enough of the little wax splatters that inevitably happen. So last weekend I went out to a beauty supply store and bought a wax heater (just a little thermostatic hot-plate device that they use for heating depilatory paraffin.) I wish I had taken pictures of the quizzical looks on the beauty-supply clerks' faces when this big sweaty cyclist walked in their shop wanting a wax heater.
If it works, (and I've got a little setting up to do yet this weekend,) I can leave it set up out in the garage. Woo-hoo! It will be nice to be able to just flip the switch, get the wax liquid, and drop the chain in, and not have all the cleanup associated with the kitchen.
I'll let you know how it goes with an update.
Update 1: I haven't got the new setup going yet, but my brother Willie makes the comment that, in this post, I assumed that all users would have an easy way to remove the chain from their bike. Silly me for making this assumption! I use an SRAM Power-link (pictured at right). and have for years. Here's a good web-page that gives the best technique for removing the PowerLink, which does have some, uh, "nuance".
Update 2: I published an Instructable that gives a step-by-step method for chain waxing. Enjoy!