Mystery solved: I took a break and went back and found that I threaded the chain wrong. I have the chain wrapped around the metal tab by the upper pulley. The noise sounds like it is coming from the cassette, but it's actually from the chain rubbing this metal tab.

I tried unscrewing the lower pulley to see if I can open the cage enough to let the chain through but no luck. It looks I have to open the chain again and hopefully find another pin tomorrow.

Original post follows:

I put a new chain on my bike, Shimano LX HG70 and found that it makes a lot of noise that seems to be coming from the cassette. There was no noise like that before the new chain. I tried putting T9 lube on there, but it does not seem to change anything.

Initially I did have a tight link where I put the ends together but I was able to fix that. The noise from the cassette is constant.