I was using an average chain lube (Purple Extreme brand) for my first 2,000 or so miles. I found I had to apply it every few days or my chain would squeak. Also, chain got very black and grimy all the time.
Now I have switched to a dry teflon lube (Finish Line brand) and I like it much better. Seems to last longer, the chain runs quieter and moves smoother. I don't see much dirt and grime sticking to the outside of the chain anymore like before, so it is staying cleaner.