Note that regular chain lubes aren't intended for corrosion protection, and aren't intended to free up "stuck" chains. They assume you apply them regularly and keep the bike out of the weather when not riding.

One tip I learned from my bike mechanic: Use terrycloth to wipe the chain down. At the big Walmart, I can get a package of 18 wash cloths for about $4, so roughly 30 cents each. I'll put lube on the chain while running it backwards, rotate it a few extra times, then go along with the washcloth and rub down a section about 8" long at a time until I've gotten all the way around. Then just throw the dirty washcloth away.