The answer is not really. Chains are dirty and they get you dirty.
Dry lubes tend to be better than wet lubes in this regard, but they'll both quickly get your legs dirty. But dry lubes are normally not considered to be good for wet riding.
You can clean your chain periodically (e.g. Park Tool CM-5.2 Cyclone (TM) Chain Scrubber, which clamps onto the low tension part of the chain, runs the chain through a pool of cleaner with some foam and bristles to scrub it as you back pedal), and relube it, but the crud from road and stuff will make any lube dirty quite quickly. Some more elaborate and thorough ways of cleaning a chain (with considerably more work) are outlined here.
The other options are chain guards or full chain cases (possible with an IGH if you need gears) or belt drive. And tying your pant legs helps a good amount too.
Edit: I've added some notes on chain cleaners from some chain manufacturers (Shimano, KMC, SRAM). Follow at your own desire. Many people use chain cleaning machines like the Park Tool CM-5.2 or remove their chains and soak them in a solvent for a bit, but manufacturers are generally against this. YMMV. FWIW, I own a CM-5.2, but I don't use it very often.
KMC does not recommend the use of a chain cleaner like the Park Tool CM-5.2 (in the CG-2.2 kit):
Clean your chain after every ride, especially after riding in the wet.
Always use a piece of dry cloth to clean the chain.
Do not forget the sprockets, front changer and derailleur pulleys.
To remove mud or sand, use the bristle brush (which comes with every 120ml packing of KMC’s chain lube Pro), use light soapy warm water, if necessary.
Do not use acidic or alkali based detergents (such as rust cleaners), these can damage the chain and may cause breakage.
Do not dip your chain in (aggressive) degreasers - they remove the remaining grease from the chain’s bearings, and may cause cracks. They are also bad for our environment.
If the chain is really dirty and difficult to clean, besides using a brush for the inside, try putting some solvent on a cloth and use it to clean the chain’s exterior.
Try to avoid a so-called ‘chain washing machine’ in combination with solvent. This will instantly ruin your chain.
Some lubricant brands advise you to completely degrease the chain, KMC does not recommend this.
Shimano recommends wiping the chain with degreaser.
In dusty conditions you can wipe off the outside of the new chain with a rag that is wet with a gentle degreaser to keep dirt from sticking to the grease.
Maintenance interval depends on the usage and riding
circumstances. Clean regularly the chain with an
appropriate chaincleaner. Never use alkali based or acid
based solvents such as rust cleaners. If those solvent
be used chain might break and cause serious injury.
You should periodically wash the chainrings/sprockets in a neutral
detergent and then lubricate them again. In addition, cleaning the chain
with neutral detergent and lubricating it can be an effective way of
extending the useful life of the chainrings/sprockets and the chain.
(From Shimano SI-09R0A-002-00)
From SRAM Technical Manual 2010:
Clean dirty chains before oiling. Do not use any acidic agents. Cleaning agent must be rinsed off after a few minutes with water. Apply oil after chian is completely dried.
Regular lubrication will extend the chain's service life. Apply oil to the chain links rollers and allow to work in.