There are some general rules of thumb, such as using dry waxy lubes in places that are dry and dirty, while wet lubes (i.e. actual oil products) are good for wet, cleaner places.
Regardless of the type of lube, the critical thing is to keep the drivetrain clean.
Finally someone mentioned the environment in which the bike will be rode!
It does matter, different lube for pavement than dirt or gravel trails or roads, and different if the area where cycling is usually dry or wet.
Some try an all-in-1 wet/dry/dusty/grit/gravel/mud/snow/sleet solution, but I just vary by season and/or what surface I tend to ride on.
DON'T use thick/greasy lubes, they clump and will pick up everything and then friction does its worst.
DON'T use WD-40 or 3-1 because they pick up a lot of grit too and mostly drip off the chain in no time anyway, they are thin greasy crap really.
DO degrease/clean your chain/drivetrain often. This is more important than lubing. Lubing does little good if there is grit and grime all over your chain and you are just covering it up so it can grind into your chain some more on top of the lube. Got to get that crud off!
A few brands to try:
Pro Link Pro Gold (for dry and dusty: i mostly ride in these conditions so i use this a lot) lasts forever!
Purple Extreme (for wetter conditions: i use this when it rained but i'm still on gravel/dirt) last a good time too.
White Lightening (good for pavement: i use it dry or wet for long trips on pavement which i don't do often however) doesn't last very long, have to reapply on longer trips.
If you bike in the rain or crossing streams or mountain bike in the muck try Finish Line X-Country Extreme. I don't do this often, but it's very water resistant.
Stay away from: Pedro's Ice Wax, Finish Line Krytech, Tri-Flow Dry Wax. They just don't last so the cost ratio is no good.
General rules:
Wax leaves a chain very clean and shiny, but they are poor in moisture and need a clean chain to bond with and don't last real long. They also aren't really lubricants, just protectants.
Teflon is good, it won't get your chain as clean as wax but is moisture resistant and stays on long.
Wet lubes are good for wet areas and help prevent rust. They are poor for dusty and dry areas though.
The key is really to buy and try for yourself because you'll find contradictory reports about each and every brand and type of lube (except not to use generic household lubes or motor oil! yikes!).
Have fun, cycling rocks!
