It's the most essential and effective regular maintenance I can give my bike.
I clean and lightly oil my chain using the Mickle method. I find this the No.1 and most beneficial tip I have picked up on CC. I also clean the chain with an old oily cotton rag, old tea towels are very effective, after every ride. A two minute job.
On the odd occassion I have cleaned the chain, left it wet to dry but forgotten/not had time to lube when dry rust has appeared over night.
A correctly oiled chain gives a smoother, more efficient ride and I quite literally can feel the difference. I get very good mileage from my chains - 3-4000 miles.