The main thing to remember about wax is that your chain has to be spotlessly clean and dry before you wax it. After that, it lasts a long time and I know a lot of people who love it.
Personally I prefer Pedro's Go! for dry conditions and Pedro's Chainj! for my commuter bike. They're both soybean oil based and non-toxic. Oils of any kind mean more frequent cleaning and re-application than waxes, but you don't have to be quite so scrupulous when you do clean your chain.