This is one of the great philosophical debates, up there with "tastes great" vs. "less filling".

I'm with you, I hate that gunk. Last time I installed a chain (last week, as it turns out) I cleaned the gunk off, next applied a cleaner/ dry lube to get into the guts of the chain, and finally applied a wet lube (it's for a MTB). I turned the cranks a few times, then wiped off as much as I could. Wiped it down again for the first couple of rides. Very quiet and clean so far.