I use 'Cross Country Finish Line Wet Bike Lubricant', and it is fantastic stuff. I avoid using WD40. This from BicycleTutor.com
WD-40 was developed by the military in the 50s as a rust preventative solvent and de-greaser to protect missile parts. It quickly became a household item when people discovered it had thousands of other uses as a cleaner, rust-prevention agent, squeak-stopper and more. It also works wonders as a light lubricant on small items like hinges, locks, and toys.
Bicycle chains, on the other hand, are far too heavy and fast-moving for the lubricating power of WD-40 to have any effect at all. As a matter of fact, WD-40 will actually strip away any existing lubricant and leave your drivetrain dry – metal on metal. Basically, spraying this stuff on your chain is worse than using no lubricant at all!
I run mine through several pieces of folded kitchen roll until it's shiny, and then it's important to apply lighty, one drop, one link at a time. A dozen or so back-pedals, and finish with a light run along with some more kitchen roll to remove the excess and avoid gunk build up. It's not a long job, most bikes are 112-ish links. My recumbent takes a fair bit longer though, 264 links I think. 5 minutes once a week could double the chain, chainring, and sprocket life.