I can usually feel when my chain is dirty, so I clean then lube. Clean with MECs chain cleaner liquid + cleaning kit, and then with Tri-Flow as a lube. Seems to work out OK. I bought all three of these things in April, have ridden around 4000 miles and still have plenty left. I think the cleaner fluid (biodegradeable too btw) was $5, the kit $7 and the Tri-Flow $7 (all CAD) - check
www.mec.ca or "REI" in the US (I think).
Check out
www.sheldonbrown.com for chain maintenance techniques, too.