Without turning this into a chain cleaning argument, I will describe what I do.

I leave the factory grease on as long as possible. Then when it gets too dirty I soak the chain in a bottle of mineral spirits. If there's a lot of gunk I fill up another bottle and rinse again. Once the chain is completely dry I apply the lube. I was using Finish Line "dry teflon lube" because I got it for free but now I use either chain and bar oil or Chain-L.