As Ben says, a hot topic, everyones got their own method.
Do you want cheap and quick ?
Wipe the excess dirt / oil off the chain with a rag. Drip engine oil on each roller (you don't need to lather it on), work your way round, spin the cranks a few times to let the oil work its way into the pins, then wipe all the excess off, then wipe again.
Pros...cheap and quick.
Cons..you do get fine droplets of oil spraying off onto your wheel and stays. If you like to keep your bike spotless, it makes it harder.
Do you want more expensive and cleaner looking ?
Wipe the excess dirt / oil off the chain with a rag. Drip Finish line lube (ive used Finish Line Dry, but it goes black as well after a while) onto each roller...then wipe off as above.
Pros...the lube is thinner and works into the pins quickly. May be better lube (may be ?). Less spray when riding (maybe not any), cleaner chain (dependant on which lube you use)
Cons..works out a lot more expensive than engine oil.
Do you want to really do the business ?
Remove the chain, clean in petrol, diesel, detergent, dry by baking or evaporation. Then use an expensive (depends on your point of view) lubricant like Finish line or others....then wipe off as above.
Pros...removes all the grit in the rollers, theroretically makes your chain last longer (theroretically?)
Cons...a lot of faffing about for some people.
Ive used all three (or a variety of)...and can't really say any makes that much difference. i just wipe then, then wipe clean. Quck easy, cheap...but slightly messy.