I use wet lube and re-apply approximately every two weeks. The trick that took me a long time to figure out was to wipe excess lube off the chain right after applying. This has really reduced the amount of grime, especially in the pulley wheels.

I recently bought a snap-on chain cleaning device (Park Cyclone) and I find it to be super-effective at de-gunking seriously gunked chains. My LBS recommended kerosene as a solvent. That struck me as effective but slightly reckless, so I use Simple Green. It works fine for me.