Any of the lubes found at your local LBS would be just fine, just make sure you get the type for the kind of riding you do (mountain bike, lots of wet stuff and muck or road riding, dry conditions etc)

For the chain I do prefer bottled lubes as opposed to the spray, it does take a bit more time to lube the chain properly but there is less mess IMO.

I have been using Finish Line Dry lube and Boeshield Bike Lube with good results.