Most bike components are pretty forgiving of exactly what type of lubricant is present as long as *something* is. The main problem with WD-40 is that it washes away rather easily and therefore you need to keep reapplying it. The same is true of many of the dry lube products but at least those have the advantage of keeping the outside of the chain nice and clean. But as long as you keep replacing it then it'll do a decent job of protecting the chain and I haven't noticed any premature wear using WD-40 as compared to oils sold specifically for chain lubrication. But I prefer to use other oils since they don't require reapplication as often.

Components that are relatively hard to lubricate, such as headsets and wheel bearings should use a thicker lubricant, such as grease, so you don't have to disassemble them too frequently.