Prolink works very well, best I have used.
In winter I use straight motor oil, that ******* the rust. Dirt collecting is not a problem, because I end up going through snow anyways so my drivetrain stays relatively clean.
I've tried ice wax though, I find it awful. I think it is good for road biking only, certainly not for the trails. THe slightest bit of water and its no lube. It does not last long anyways, I feel like a bottle of the stuff does not get me very far...

So I pay 1 dollar extra for prolink, and I think this bottle will last me 2 years.