Oil based chain lubes are the most frequently used lubricants primarily due to their ease of application and their excellent water displacing qualities (water hates oil and vice versa) .
A down side to oil based lubricants is that they are messy. A chain covered with oil will pick up bits of dirt during the course of a ride and in time a chain will become grimy with filth and muck.
Petroleum based chain lubes are less expensive and last longer than synthetic versions but the synthetic chain lubes do not change in viscosity like a petroleum lube (runny when hot / gummy when cold) and they are not as likely to pick up and retain dirt.
Synthetic lubricants are safer to use in contact with rubber and plastics than petroleum based lubes because petroleum based lubes can be corrosive when they come into contact with these surfaces. Always read the instructions for a lubricant if you are not sure about how safe it may be for rubber and plastic.
Paraffin and Paraffin Based Lubes
An old cycling trick is to set up a pan on your stove, melt candles, remove the chain from your bike, put the chain into the molten wax, remove the chain, let it cool down, and reinstall the chain. Although time consuming, this method has its merits because the hot wax penetrates into the pivots of the chain and the chain stays much cleaner due to the fact that the wax doesn't collect dirt. Waxing a chain by this method will only be effective for a few hundred miles before you will need to apply more wax. (Max says, "You can not reuse the pan for cooking food after melting wax in it, so be sure to us an old/cheap pan".)
Easier to apply wax based chain lubes have become very popular over the last few years with the introduction of wax that is liquid at room temperature. These easy apply wax lubes usually are fortified with Teflon which is very slick stuff. These lubes bond to the metal of a chain. When dirt collects, the wax flakes off making for a much cleaner chain.
Of course there are down side to liquid wax lubes. One setback is that wax and Teflon stick to metal but not to dirt. In order to use these lubes properly you must start with a clean chain or the lube wont stay on your chain. The other problem with wax lubes is that although they penetrate into the pivot points of a chain very well, they do not always protect the other parts of your chain ( the side plates ) against corrosion. You should apply wax based lubes frequently when riding in wet conditions.
Teflon and Other Additives
Put into both oil and paraffin lubes (more popular with wax) Teflon, Krytox, Vydax and other additives bond to metal and add to the lubricity and durability of a chain lube.
Can I Mix Lubes Together?
You can mix lubes together but it is not recommended to use a wax based lube over an oil based lube because the waxes used in chain lubes were designed to stick to metal and will not stick to oil and dirt. It is okay to apply an oil based lube over a wax lube, but the wax lube on the chain will be displaced by the oil.
Which Lube should I use?
If you ride in wet conditions, oil based lubes provide the best longevity and resistance to corrosion. Just be prepared for your chain to collect grit and dirt over time.
If you are a fair weather rider or you prefer a clean chain despite the extra time to put lube on more often, a wax based lube may be for you. Just remember that you must start with very clean or new chain.
What is a Squid Mark?
A "squid mark" is the chain/chain ring tattoo that you get when your leg rubs up against a dirty chain/chain ring. It is not to be considered a badge of pride or courage but rather an indication that you really should clean your chain.