I found an excellent video on youtube detailing how to clean and lube the chain. He makes a great point about only applying lube to the inside circumference of the chain so that when you spin the tire, the lube is pushed into the places it needs to go, rather than being flung off the outside of the chain.
[ame=http://www.youtube.com/watch?v=wNSGEzbDxKY&feature=related]YouTube - Clean and Lube Your Chain[/ame]
[ame=http://www.youtube.com/watch?v=wNSGEzbDxKY&feature=related]YouTube - Clean and Lube Your Chain[/ame]