I will attempt to summarize what one should look for in a lubricant without making specific product recommendations.
In the past, lubricants have been classified as wet and dry. Wet lubes are like oils. Dry lubes are thought to mostly dry off after application. I believe that conventional wisdom may say that dry lubes are best if you're riding mainly in dry conditions, as they attract less grime. Wet lubes are often used in wet conditions. Some dry lubricants contain wax, which is a hydrocarbon that's solid at room temperature - in contrast, wet lubes are hydrocarbons that are liquid at room temperature. In addition, our chains come shipped in a cosmoline-like grease; this grease is very lubricious, and some riders regard it as a superior lube. However, I'm not sure that we can get our hands on it, and I don't think many people put grease in general on their chain.
Chains wear from friction between the pins and the rollers. Lubricants need to penetrate inside between the pins and the rollers, i.e. inside the chain. As we ride, dirt gets kicked onto the chain. Some of it works its way into the rollers. Here, it forms a grinding paste with the lube. While I'm not an engineer, I would expect that lubricants probably have two correlated but separate characteristics: their effect on drivetrain friction, and their effect on chain durability. A lubricant that has high lubricity would reducing the friction of the pins and rollers sliding against each other. I'd expect this to reduce drivetrain wear by itself. There's a paragraph in the Cyclingtips article where Smith says:
If contamination was removed from the equation, say, like in a track environment, or a very clean road ride, increased friction does not always correlate to wear ... For example, compare a newer-technology dry lubricant, such as (CeramicSpeed) UFO Drip, Molten Speed Wax, or (CeramicSpeed) UFO Chains versus a thick sticky grease. The dry lubricants, from an efficiency standpoint, will be much faster than the greased chain. However, the greased chain might show less wear over time.
However, because grease, like the stuff our chains come shipped in, is very sticky, it will attract a lot of dirt. Thus, grease is likely to lead to poor longevity in actual riding conditions. (NB: Smith has contended elsewhere that the grease also produces very high drivetrain friction, mainly due to viscous drag and stiction, albeit these properties by themselves shouldn't cause chain wear.)
I'm attempting to summarize a couple of Velonews tests of chain lubricant. The first test was in the print magazine, dated I believe 2015, and is here. The second may also have been print-only, but Squirt (NB: they make a lube, so commercial interest) reproduced it here. The third is a Cyclingtips article. All involve data from Jason Smith, formerly an independent chain friction researcher; he, his workshop, and his intellectual property were bought by Ceramicspeed, but he was independent at the time of both Velonews articles. The last involves work by Smith and Adam Kerin; the latter is an independent researcher who studies drivetrain wear. Smith is and was set up to measure both drivetrain friction and durability; Kerin is set up to measure durability only.
First, consider what conditions you ride in. I bet that most of us mainly ride in dry conditions. Some may ride through the occasional shower, and probably a few more head out when the roads are a bit wet. I don't expect that many of us consistently ride in the rain.
Lubricant Recommendations
The short version: avoid all aerosol lubes. Avoid White Lightning Epic Ride. Avoid other dry lubes where you can see there is a low ratio of lubricating substances to carrier fluid.
Spray lubricants, including WD-40's original formula, are not thoroughly discussed in the first Velonews article, but the CT article says why they are bad: they're mainly carrier and very little lubricant. In addition, aerosol WD-40 is generally thought to be a mix of solvents and lubricant.
I would also be cautious with selecting a dry lubricant. The image below is my personal bottle of White Lightning Clean Ride, which is a dry lube (NB: and which I use on my cleats, not my chain!!). I let the bottle settle untouched, and the white stuff at the bottom is the wax and other lubricating agents. The clear carrier fluid may be heptane; in any case, White Lightning does describe the lube as flammable. Kerin and Smith both argue that many traditional dry lubes are bad, precisely because of the low ratio of carrier to lubricant (see the Cyclingtips article).
If you ride very frequently in wet conditions, the Cyclingtips and first Velonews article say that heavier oil-based lubes could work. However, they seem to imply that these are not the best all-conditions lubes for dry riding. In terms of traditional drip lubes, the CT article points to Nix Frix Shun and Rock-n-Roll Gold as good contenders, but note that this is based on Kerin's testing of only ten different lubes (i.e. he may not have selected other good wet lubes). PTFE as an additive should be helpful in reducing drivetrain friction, and thus reducing wear somewhat.
Some drip wax lubes, which would traditionally be considered dry lubes, have excellent performance in the dry and should perform acceptably in normal amounts of rain. However, many of them do require you to completely remove the existing oil-based lubricants from the chain, which is an involved process. If you are not able to investigate how to do this, I would stay away from this class of lubes entirely. The same goes for immersion waxing, be that in paraffin or in paraffin with additives (e.g. Molten Speed Wax, which adds PTFE and molybdenum disulfide). I previously wrote an answer that attempted to explain why molten wax may outperform other lubricants.
Drip wax lubes include Squirt, Smoove, Ceramicspeed's UFO drip (which is extremely expensive and thus most riders should avoid), Tru Tension Tungsten, and Silca's super secret chain lube (both not reviewed at the time of the CT article). I list these lubes not to recommend any particular one. Rather, readers should avoid these lubes unless willing to put in the work. If applied to a greasy chain, these lubes won't adhere.
Maintenance
If nothing else, wipe your chain with a clean rag after every ride. This reduces the amount of dirt that enters the chain's rollers. I believe that degreasing frequently isn't necessary. However, lubricating fairly frequently is necessary. Pick an interval you can remember and sustain. Weekly would probably be fine for many riders (daily is likely too often). If your chain is squeaking, you have metal rubbing against metal, and you're wearing things down. I speak from personal experience here!
You should occasionally clean your chain more thoroughly. An on-bike chain cleaner filled with some solvent (which you can dilute) is good, because it brushes inside the chain. I personally don't rate putting degreaser on a rag and wiping the chain as highly as this option. In my experience, it's best to run the chain cleaner multiple times with fresh solvent each time. Each run will remove some dirt from inside the chain, the bristles will pick some of the dirt back up and move it into the chain.
If you are more determined, you can get a reusable quick link (e.g. YBN, Connex, some models of KMC), and you can occasionally remove your chain from the bike, put it in a bottle with solvent, and shake it. See the paragraph above about refreshing the solvent, only this time it's more important because you're otherwise shaking the chain in dirty solvent.
Frankly, if you are more meticulous about cleaning your chain, it may not matter so much what lubricant you use, provided you don't use one of the ones I suggested to avoid.
