One of the biggest problems we see here at the shop is a the overlubed and undercleaned chain.  Obviously it is important to keep your chain lubed but too much lube can lead to excessive chain wear and poor shifting.  Before you lube your chain place your chain into the hardest gear i.e. large chainring in the front and smallest cog in the rear.  Doing this will make cleaning off excess lube easier.  When lubing your chain you want to drip lube onto the top side of the chain until the entire chain has a thin layer of lube covering it.

It should look wet.  You may even find that some lube is dripping down the large chainring.  Pedal backwards for about 10-15 secs.  This will allow the lube to penetrate each bushing on the chain.  Wipe off all excess lube.  Your chain should appear nearly dry once you are finished.  I tend to grab the top and bottom of the chain with a rag and wipe down the exposed portion of the bushings.

Then I grab the sides of the chain until they are clean.  Don't forget to wipe off your chainring and small cog.  Both the cog and chainring should be free of any lube.  The cleaner and drier your chain and chainring appear the better.  Any lube remaining on the outer surface of the chain will only serve to collect dust and grime from the road or trail.