[The CyberPoet]

Seriously, always use a chain-specific lube. Oil will just sling off.

As long as you are diligent about applying additional oil on a regular basis, it works the best, because it flings (and when it does, it takes the dirt/sand/debris with it, helping keep the chain clean), and because oil cushions the impacting surfaces better than wax. There are boundary products that stick like a wax, but are an oil -- the best I've found to date are Permatex item #80075 (chain oil). If you're trying to go cheap, used motor oil will work for a while, as long as you slather it on regularly, or you can find huge cans of teflon-impregnated chain oil for $3 at the local auto parts store (normally used for garage door openers and timing chains).

Cheers,
=-= The CyberPoet