The Staff favorite here at EVELO for long-lasting protection is Chain-L. It will last a very long time and protects well. The downside is that it gets very dirty because dirt clings to it.
For a cleaner, lighter touch, we like Finish Line Dry. It goes on and cleans off easily, keeps things quiet and feels very efficient. You will have apply more often than with Chain L.
Tri-Flow is very similar to Finish Line and can be found nearly anywhere. It's attracts dirt a little more than Finish Line.
Wax-based lubes will be much cleaner, but they don't last nearly as long. You will need to apply lube every few times you ride. The only wax lube we like is Squirt.
The bottom line here is that any bicycle-specific chain lube you choose will work quite well. You just need to be sure and apply it regularly, according to its instructions. For most of them, one drop of lube goes on each chain link, then you backpedal for a bit and wipe off any excess. We do not recommend household 3-in-1 oil as it is too heavy to penetrate the chain well and attracts dirt badly. WD-40 is also not recommended, as its primary purpose is as a solvent, rather than an oil. It will not protect your chain, and you are better off using nothing than using WD-40. You can read even more about chain lubrication on Sheldon Brown's site.