I'm currently using "White Lightning Clean Ride", a wax based lubricant suspended in a solvent. I think the idea is that the solvent transports the wax deep into the chain and then evaporates away, leaving dry wax behind. I've been using it for over a year on my commuter, in all weathers on salty, gritty wintry roads, and it seems to be doing a fair job. Obviously, you will need to apply it far more frequently in wet wintry conditions than on dry sunny rides. I was applying it 2/3 times per week in the worst conditions and maybe once a fortnight in fair weather. I use both KMC and Connex chains and switched to a dry lube because I was experiencing rapid, premature chain wear using conventional chain lubes, as well as filthy black trouser legs. If your chain is enclosed and not exposed to road grit, salt and water, oil must be the best because it flows into the chain and ensures the moving surfaces are always lubed. However, oil attracts grit and forms a very abrasive paste that can accelerate wear of the moving metal surfaces of your chain. Wax does not do this but the downside is that wax does not flow back to the moving parts of the chain once it has been displaced and so frequent waxing is required. On balance, I am getting longer chain life with the wax lube - and cleaner trousers.
