WD40 works fine, but you need to use it wisely. I have previously used it when riding in extremely cold conditions, e.g., below freezing... and that doesn't happen very often anymore. It is ideally suited for super cold temps vs. the more viscous lubes made for bicycle chains.

As for how to use it, it needs to be applied quite often (daily, if you will) whereas most of the newer lubricants last much longer between reapplications. It works best when it is applied right after you ride, not before, so that it will have time to soak-in and dry. It's also a good idea to wipe down the chain with a rag before you apply it, and then again before you ride -- this helps to keep the black crud from building up on the chain and then transferring to the cogs, chainrings, and derailleur jockey wheels.

My default chain lubes include hot-melt paraffin for the weekend road bikes and Pedro's Ice Wax on the daily rider/mud bike, and the mountain bikes. In all cases, I make a point to give the chains a quick wipe down either before or after I ride to keep the crud to a minimum. Crud on the outer plates and rollers simply begats more crud and serves no other useful purpose.