See the following link to read about peoples opinions about new chain wax/lube (and when to remove it):
New chain is pre-lubricated, should I clean it before use?
Can we buy this chain wax/lube that Sheldon Brown(see Carson Reinke's comment in link above for quote) says we should not be removing from our new chains? Is there a perfect lube?
I do realize there are different lubes for different weather conditions and environments.