I've been using just about every type of chain lube over the last 20 years and there's definitely a huge difference between the various chain specific and general lubricants.
My current favourite chain lube for all occasions (dry, dusty or muddy) is a Inox product called "Lanox". It is described as a "heavy duty anti-corrosion lubricant with lanolin". Lanolin is a natural wax found in animal wool especially the wool from sheep, commonly referred as 'wool fat' or 'wool grease'. Baa baa black sheep. You can get it in a 300g aerosol can, but also in 5l container and 20 and 205l drums. A 300g aerosol can is about $10 and will lubricate a lot of chains.
What's so good about it?
- it goes on thin enough to wick into all of the gaps in the chain;
- although it doesn't completely dry out, it doesn't seem to attract the dust like other "wet" lubricants;
- doesn't gum up like teflon based dry lubricants;
- doesn't wash off in the mud, but continues to repel water on long muddy rides without keeping mud and dirt on your chain;
- cheaper than bike chain specific lubes;
- washes off easily in turps and takes whatever grime its accumulated with it.
What have I tried in the past?
I've tried all of the major wet and dry bike lubes for short periods of time, but they always come in small and expensive (for their size) containers that don't last particularly long.
For a long while I used WD40 and it worked extremely well for a decade of drought conditions. To keep my chain in tip top condition all I needed to do was to spray it liberally with WD40 before each ride and wipe off the excess. The WD40 cleaned the chain and left it relatively dry so it attracted minimal dust.
Once the drought broke and we started the wettest year in a 100 years, the WD40 regime just wasn't cutting it in the mud. I tried a range of specialty cycling products with varied success. Finish Line Krytech wax lube was probably the best of these but the Lanox is better still at a fraction of the price (and much more readily available too).
Should I clean the grease off my new chain?
No. The lubricant that comes with new chains is great. It is in all the right places (around the pins, between the plates) so there is no point in washing it out and replacing it with something else.