This question leads to one of the great religious debates of the bicycle culture. Ask ten mechanics which chain lube is best, you'll get ten different answers. The honest answer is "it depends on your maintenance habits and the weather and your preferences, so you should try some different things until you develop an opinion of your own." That's tough to do without understanding what to look for.
The main species of chain lubricants you will see:
- Oils of various viscosities. Often sold as 'wet weather' lube. Finish Line wet is an example.
- Teflon in an evaporating solvent. Often sold as 'dry weather' lube. Finish Line dry is an example.
- Wax in an evaporating solvent. White Lightning Clean Ride is an example.
Oil is a fine lubricant. It sticks on your chain fairly tenaciously in bad weather, so requires less frequent application. On the other hand, road dirt can accumulate quickly and turn into a nasty black paste, especially if overapplied. Wipe extra lube off the exterior of your chain after application!
The Teflon and Wax style lubricants have a lubricating substance in a solvent. The solvent lets the stuff flow, distributing the lubrication to the inner crevices of your chain, and then evaporates, leaving the lubrication where it needs to be. Then, like with oil, you wipe off the exterior of the chain. These chain lubes tend to leave your chain less messy, but can wash out more easily in rainy-day riding.
Take those considerations into account and pick whichever seems most suited to your situation.
As other answers have mentioned:
WD-40 does not make a great chain lube, what lubrication it leaves after evaporating is too thin.
Do clean your chain, externally with a rag at the very least, before re-lubing. If you do a thorough clean with solvent or degreaser & water, make sure your chain is completely dry before reapplying.