I use one of these on my chain - albeit not very often. Usually I find it's not too messy, I re-lube as and when needed (by sound/sight or just knowing I've ridden through a downpour, etc.). With the chain cleaner, I use MECs Bio-Cycle oil, as recommended, and it's fairly cheap.

I also do a full wash/clean with warm soapy water - with a sponge and an old childs toothbrush for those little areas. The chain device seems to handle the links, but the cassette would need a brush or some such.

For lube, I use "Tri-flow" - I got that over the Phil Wood stuff at MEC purely due to dollar/quantity ratio. Seems to work for me.