I take my chain off a few times a year and shake and soak it in an old glass peanut butter jar (vitally important) with some Simple Green. Then after drying completely I use Dumonde Tech. I have used Finish Line and Pro Gold and White Lightening. They are all good lubes.

The Dumonde Tech that I just started using actually states to do what Thor29 suggested. I used their Citrus based cleaner and now just lube a couple times a month. It is supposed to build up in the friction areas and create a wax like surface to fight dust penetration.

I like chain cleaning because it causes me to stop and look the bike over in detail. Its a good time to check connections, cables and adjust the suspension if needed.