I like Pedro's Go!, which is soy based. It's good for dry conditions and doesn't attract a lot of dust (though it does turn black right away, it lubricates fine).

For wet conditions, they make a heavier soy-based lube called Chainj.

I've never used wax on a bici (used to use it on the moto). The trouble with wax is that the chain has to be SCRUPULOUSLY clean before you apply it. After that, though, it seems you can ignore it for a good long time.