I like using gasoline in a glass jar, it's such a powerful solvent it seems to really get the chain clean. I usually change the gasoline 3 times during a cleaning session. You have to be careful not to shake too hard (sparks!) or drop the jar...and of course it should be done outdoors. Probably not the best first choice if your new at cleaning chains.
Second choice is mineral spirits which can be had for $2.50 a quart at Walmart or the dollar stores.
I like to scrub the freewheel, chainrings and derailleur while I'm at it.
I usually use a wax based lube afterwards.