http://sheldonbrown.com/chainclean.html
There is more good information in that link than first appears.
My old technique: Dribble lube on chain while spinning it backwards, then run chain through paper towels. Result: Always dirty chain.
New technique: Dribble lube on inside surface of chain, then spin around a few times. Then hold chain in place, take a cheap disposable terrycloth washcloth, wipe chain back and forth several times until it is shiny, rotate chain a bit, and repeat. Works much better. The terrycloth is better for getting in between the sideplates and pins. Walmart sells washcloths at 20 for $5 or something like that, they're pretty cheap.