From my experience all chainlubes turn into a black mess. tri-flow does it after one ride even if the chain is spotless before the ride, but tri-flow is easier to clean, rock'n'roll will take longer to turn into the black mess but also takes longer to clean. My preferance is Pedro's Road Rage (road) and Pedro's Synlube (dirt). they are a pretty good balance of staying clean and ease of cleaning. Both of these lubes do alright in the wet also, triflow does not last very long in wet conditions. On a side note before I worked at a bike shop I would just put some oil on the chain and wipe off as much as possible. It didn't matter if it was WD-40, 10w-30, or 90wt, after working at a shop I hate dirty chains.

Cleaning the chain, cassette, and rings before lubing is more important than the lubing if you ask me. without a good cleaning you are wasting your time.