I'm assuming this is an older/user chain. On an old-style bushing/roller chain I prefer basic oil - motor oil or gear oil, just so long as the weight is medium and it can both get into the joints, but that it does not wash back out easily. If I have 30 weight around, I'll use that, for example. When it gets dirty after quite a bit of use, I clean and re-apply. Don't go heavy on it - just a little bit is enough. If you go too heavy, it will tend to make a mess and attract dirt.
On a new chain out of the box, they come pre-lubed usually and you don't want to dilute that, so just put a tiny amount of oil on the teeth of the cog and sprocket. Do not oil a new chain that is factory lubed because the factory stuff is usually good to start with.
I have a plastic basin with a inch or two of 10w30 motor oil in it. I clean the chain as best I can with a wire brush and place it in the oil overnight. Then hang it up to drain and when it is sufficiently drip free I wipe it down and reinstall.
Same as Gordon, but I first hang it by one end and spray it with WD/40 rust inhibitor then put it in a sandwich bag for a few days. Clean it good in a bath of BraKleen then give it a light coat of oil before wiping it down and reinstalling.