+1 to wax.

i use pedro's ice wax. dob on, wipe off, dob on, wipe off... at least once a day. is there grit on my chain? yes. but does it still look nice and shiny and new after three months? you bet!

there's lots of discussion on ice wax at http://www.mtbr.com/cat/accessories/...47_131crx.aspx