Depends a little on the particular type of riding... I've tried a bunch, and settled on ProLink as my favorite for general conditions.  It seems to persist fairly well w/o having to re-apply every couple rides, and it doesn't attract too much grit/gunk.  For my winter bikes, though, I'll still use something heavier/stickier like Finish Line Cross Country so it doesn't wash off as quickly in the rain (or even Phil's Tenacious Oil if it's really pissing).

I am out here in the dry desert of Arizona, have been using White Lightning, would like to try another.

I've tried a ton of them and ProLink Gold is by far the best for general dry riding conditions.  Drivetrain stays so much cleaner with it!

I like Prolink the best of all lubes because its light and doesnt attract dirt. I have recently started using Finish Line Ceramic synthetic lube and noticed it really quiets the drive train down and seems to last. Another good brand is Dumonde light and heavy versions.