I've talked to a lot of folks about chain lube. I've met quite a few people with strong opinions, and they vary wildly. Some folks swear by paraffin wax based lubricants like the White Lightning line of lubricants. Other folks swear by oil-based lubricants like Phil's Tenacious Oil. Still others won't ride without a teflon based lubricant like Tri-Flow. Everyone who swears by one of these three types of lubricants will tell you the others are terrible and will destroy your chain or some other nonsense. The rhetoric is silly -- each of them works well enough. I've had good and bad luck with different products in each category.
When it comes down to it, you just need to find a lubricant you like and use it. The biggest deal, according to some very experienced mechanics I've talked to, is to keep your chain clean. Your chain needs lubricant on it, but it doesn't take much to keep it lubed. The big thing that destroys chains is dirt. If you clean your chain frequently, it will last a lot longer. When you clean it, you should be able to run your finger along the links (the top or bottom, not the sides) and have your finger come away with a little bit of lubricant on it. If there's nothing there, you should lube your chain. If you do this, what lube you choose won't matter nearly as much.
That said, there are some differences to take into account. The two things I think most about are waterproofness, wetness, and application instructions.
- Waterproofness: If you ride your bike in the rain, you need a lube that will resist washing off. A lot of the inexpensive lubricants you can buy are not very waterproof, so by the end of your ride the whole thing has washed off. That's bad for your chain. If you look at the lubricants you're considering, the bottle should explicitly say if it's waterproof. For this condition, Phil's Tenacious Oils work pretty well, as does Boshield's T-9 lube.
- Wetness: Some lubricants leave the chain with a glistening wet surface. When you put it on, you should be able to wipe this off a lot, but some lubes (like oils, and some of the teflon-based lubes) will leave an oily sheen whenever they are present. This oily sheen can pick up dust from the environment. If you're riding in a dusty environment you want something that will dry completely and still work. For dry conditions, Tri-Flow makes a product that dries completely and leaves a teflon lubricating layer. Boshield's T-9 is good here too -- it dries and leaves a parafin wax lubricating layer.
- Application Instructions: Different lubricants require different rituals to apply them. Some of them suggest you put them on the chain, wait 30 min, and wipe off the extra. Others suggest you lube the chain and immediately wipe off the extra. Some even suggest putting it on the chain, wiping off the extra, and then letting the bike sit in a warm space for 12 hours before use. Depending on what you're doing, this may be impossible. My girlfriend and I accidentally bought a bottle of the "sit in a protected place for 12 hours" stuff on a bike tour, and it was terrible. We were camping, we had no protected place for it to sit. When you apply the stuff "wrong", it works very poorly; we were applying it every 2 hours of riding, and still getting some nasty wear and squeaking.
So there you go: there's no one answer. If there were, you wouldn't see so many products on the market. If you give it some thought, and do some experimentation with a couple of the products that suit your needs best, you should settle on something you can use well, and go through slowly. Chain lube doesn't need to be a big expense.