Yippee, lube war! I wax my chain. I remove it from the bike and immerse it in molten wax. The first time you do it is a right rigmarole, because the whole drivetrain must be completely free of any previous lube. Chain manufacturers inject lube into all the pins and holes, and this must all be got rid of. You have to clean the cog and ring and jockey wheels so they are completely lubeless. Then you put your chain in molten wax, take it out, wait until it cools and put it on. You do not need to apply any lube to the rest of the drivetrain. You do not need to clean the drivetrain ever again. Just take the chain off and wax it.
They say that candlewax actually causes friction and drag. You can get special wax-based stuff that is more slippery. A bloke on the net melts candlewax and mixes in molybdenum or something to make it more slippery. I do not bother with that. I bought a load of candlewax and put it in a chip fryer that I do not use. The net says that candlewax is brittle and cracks and all flakes off really quickly, and you should mix in paraffin oil to make it softer. I found a full bottle of vaseline and mixed that in. I put the chain in the melted wax in the chip fryer for 15 minutes to allow the wax to creep into the pins. Then I hook it out and hang it up. Then I put it on. When I notice the chain squeaking I do it again. No gunge. Almost completely clean all the time.
They say that the problem with lube is that dust sticks to it and mixes with it and then abrades the chain, but wax falls of, taking the dust with it. That is the theory. For me, the main advantage is that it is so clean and non-messy.
I am almost exclusively a roadist. This may not be suitable for a cyclocross person who likes mud, but it will probably do for mtb people who do rock gardens and gravel.