One question -- O or X ring type chain or old school non ring type chain.
With old school chains I've had good luck with grease. First I take the chain off, and clean it thoroughly in solvent. Let it dry. I get some really light solvent and mix some grease into the solvent so the previously thick grease is a free flowing liquid. Dunk the chain in that, work it in and hang it up. After a the solvent is gone wipe off the excess and reinstall the chain. You can get real long life with this method.
Yea that's a complete pain in the rear to do very often. I buy ring type chains and then it doesn't hardly matter what you use. I go with the chain wax, but a light lube will be fine too. The main function is to prevent the metal from rusting. With a ring chain you are not relying what you spray on to actually lube the chain. That function is handled with the grease that is sealed inside the rings.