There are "masterlinks" you can buy for most chains. Conex (Sp?) for Shimano and Sram also makes a link. More expensive chains now come with the link pre-added. The link allows you to undo the chain without tools, take it off the bike for cleaning and return.
Generally I just use Pro-Link very carefully on my chain after doing a good dust off with a clean cloth and soft brush. I add the Pro-Link one link at a time until the chain is done and them wipe carefully. My chain tends to stay fairly clean, even on my mountain bike. If it gets really dirty, I remove it, use citrus degreaser (diluted quite a bit), then a good wipe with a clean cloth, put it back on the bike and apply Pro-Link very carefully.
