i wipe down my chain with a rag after i ride.. just a minute or two to get the crap that accumulated. it helps to make sure your chain and sprockets are actually clean though.. if the chain has a bunch of dirt on the inside, even after you clean it, lubing it will just allow the exising dirt to move out from the cracks and get your sprockets dirty. and if the sprockets are dirty, the lube will just pick it up.

chain lube is used to lubricate the chain itself, not the chain and the sprockets. the lube also protects the metal from rust.. you don't need tons of it dripping off your chain or anything though, just a light coat. i used lithium grease because it doesnt wash off easily.. so far so good

more info: http://www.sheldonbrown.com/chains.html