Use Repsol chain lube! I've used several different lubes.. but Repsol is my favorite now. Very little sling, and it goes on CLEAR!

Get the chain warm by riding it a bit.. then spray it on the chain, and make sure to cover the entire chain by rolling the bike forward or putting it on a rear stand as mentioned before.

...oh, and make sure to clean the chain regularly too. I use WD-40 and old t-shirts..