KMC Rustbuster chains are the solution for this. They are coated in a zinc/chrome alloy that keeps them from rusting. I have been riding one all winter and the thing is simply unstoppable. Best 13 bucks I ever spent on Ebay, the link below is to a site that sells em.

http://www.salemcycle.com/salemcycle...ch0008_ds.html

It's worth it for a chain that won't rust. The catch is I've only found em in 7/8 speed, no luck with a 9 speed version.

Joe