Go to the hardware store and get a container of lanolin (active ingredient in citrus degreaser, but MUCH cheaper at the hardware store then any bike shop), put it in a bottle then shake it. If you're cheap like me, use a coffee filter to filter out the particles so you can use it again. Just keep in mind you can only do this so many times, as with any of the organic solvents, they will reach a saturation point eventually.
If you've got some MEK lying around, you can use that too... just don't breathe it in. Even gasoline will do wonders in a pinch.
After that, melt down some candles, add a pinch of graphite lube, dunk your chain in... let it harden, and break the chain so it can move again. As you ride the first 5 miles or so the rest of the excess wax will come off. This will seriously help you keep from having dust and grime collect on and in your chain.