The very best, of course is lubricant made for chains. Ever order anything over the internet? Biketiresdirect.com and Nashbar.com both ship very quickly and have the best chain lubes you can buy.
Finish Line makes wet lube -- Ceramic WET Lube, dry lube -- Ceramic WAX Lube, and dry fluoropolymer -- Dry Teflon Lube. Any of these (and others) by Finish Line will increase the service life of your chain.
The problem of ordinary oils is "sling". They are not made to stay in the roller and pin assembly of the chain. That is the critical lubrication point. As the chain goes around the gears and idlers centripetal force makes ordinary oil spray off the chain.
I prefer a dry chain lubricant as they do not hold onto dust, dirt and grit that can wear the metal. Half the gritty material kicked up from your front tire usually lands on the chain.