Besides stainless, KMC also makes a "rust-buster" chain. It's a flat gray color, I imagine it's coated with something. I've never used one, but the idea is interesting. Here's what they have to say about it, which I take with a grain of salt:
Our RB (Rust Buster) treatment is a coating of zinc and chrome, protecting your chain against rust, in fact it makes your chain resist rust 500 times longer than a regular chain. Our RB coating meets with the highest international standards on rust resistance.
I always have one beater that takes the wrath of winter, full of junky old components. I probably sacrifice one (used) chain every year.