Chains are what transfer the watts you exert to the wheels that keep you moving, so wouldn't it make sense to keep your chain in the best possible condition.
There are several ways to clean and lube your chain, but some are better than others. Here at BC Wheelworks, we use a, albeit, complex method to make sure your chain is in the best possible condition to make sure you don't loose any watts and go as fast as you can go.
Here is our method: We start with great chains, strip all the lube off of them, and then add in the best lubes for your specific application. We do have favorite lubricants here and they are as follows: Hold Fast Cycling paraffin wax coating for absolute performance on- or off-road and Hardcore Chain Butter when you don't always take care of your chain, but want it to take care of you.
Here are a couple of resources that are very helpful if you want to know more about the testing.