And chainrings.

Lubing your chain isn't just for the chain. It keeps your cogs and chainrings from wearing prematurely. You should take your rear wheel off from time to time and clean the cogs by hand too. I cannot stress how important that is. Not hard once you do it once or twice.

When you do this, you'll get unbelievably smooth shifting. And when you get that, you'll do this bit of maintenence without hesitation. It's like getting a new bike if you go too long between cleaning/lubing jobs.