I usually just buy the cheap sram PC-950 chains, I have had very good luck with them but most companies make quality stuff, I just like srams powerlink more than the other brands.

I would avoid spray lubes, wax lubes can be good but the aerosol versions tend to make a mess and you do not get as much for your money. You also do not need to lube the cogs, just the chain. Really any lube other than inside the rollers on the chain will just attract dirt. You want to lube the chain and then wipe off as much excess as you can. Hopefully that helps save some $$ on chain lube.

Hope this helps, welcome to the world of being a bicycle addict where we convince ourselves need and want are actually the same thing.