While it is on the bike, I have been known to use an old toothbrush, and some simple green.. takes some time, but cleans her up nice..

Another method on the bike is to get one of those chain cleaning box/wheel/brush deals (for like $15 at the LBS). Fill it with cleaning solution, snap it on the chain, then just run the pedals backwards for a few revolutions.

If the chain is REAL bad (I do this one 1-2x per year) get a chain tool, pop out a pin, take off the chain, and put it in a jar of simple green for a half hour.. then just take an old rag, and the grease/grime comes right off.