I use Finish Line Cross Country Wet all year round. Honestly, you can use pretty much any oil on a bike chain. I have a couple of comments on my personal experience with some common products:

Wax-based lubes [White Lightning, Pedro's, Krytech, hot wax dips, etc.] - Not much luck with these, regardless of how clean or dirty my chain was before applying. They were fantastic until exposed to any water/dirt/dust/mud/beer and then just flaked off.
Phil's Tenacious Oil - This might actually be an adhesive of some sort, but it sure does work as protection against winter road salt. In warmer times, it collects dirt and dust like crazy, fusing it into a Tenacious goo that often needed solvent to remove.
MEC Chain Lube - Cheap like borscht, and just as effective. Similar to Phil's, but with very low viscosity, so it gets everywhere. It had some sort of weird reaction with the road salt last winter, creating a semi-plastic coating on my chain and cog[s]. It just didn't want to come off the chain, and it was causing some chainsuck [on a SS no less]. I had to throw out the chain, and use a screwdriver to scrape it off the rear cog. It also somehow never dried, meaning that even the slightest touch would leave dirty oil marks on pets, skin and clothing.
WD-40 - It's great for silencing squeaky hinges and as a tiny flamethrower, but sucked for chain lube. It's basically a light penetrating oil mixed with a solvent that evaporates at room temperature. It is not water or dirt-resistant. It does a great job of dissolving grease, so keep it away from any bearing assemblies [BB, hubs, etc.]
Tri-Flow - Not bad, but didn't last very long when things got wet. Didn't attract dirt too much.
Synthetic motor oil - Not bad, but didn't last very long when things got wet. Didn't attract dirt too much. Doesn't smell as nice as Tri-Flow, but is 1/4 the cost.
Finish Line Cross Country Dry - Not much resistance to water or dirt, but it was a very clean lube.
Finish Line Cross Country Wet - Pretty decent stuff overall. Not as tenacious as Phil's in the winter, but much easier to work with when it's warmer out. It lasts quite a long time between applications. I don't have to clean the chain per se, when it gets dirty I simply apply more lube and wipe off the excess, removing 90% of the dirt in the process. It doesn't stick to the sideplates like the MEC stuff, which is nice.

My $0.02, YMMV...