Consider the Weather
If you ride on wet roads or muddy trails, you should opt for a wet lube, which has a thicker consistency so it won't wash away in a downpour. For more arid conditions, try a thinner, dry lube. Buy one of each so you're ready for any weather, but clean your chain before switching.
Keep It Clean
The heavier viscosity that helps wet lubes stick to your chain means they also collect more dirt and grime, so your drivetrain will need to be cleaned often, and following every foul-weather ride. Dry formulations attract less dirt but many varieties can wear off after about 100 miles and need to be reapplied frequently.
Apply It Right
Many lubes come in squirt bottles, which allow you to deliver a precise dose to each link of your chain. Less common (and sometimes less effective) are aerosol-based sprayons, which disperse the lube into every nook and cranny. Be careful not to accidentally coat your rims or rotors, which could impair braking.
Wax-based varieties go on wet, then dry into a dirt-repelling film. But the wax itself can build up on your chain and the lubes don't reduce friction as much as some others.
Many wet and dry lubes include the chemical PTFE (better known as Teflon), which can lower friction, so you might need less energy to turn your cranks.
Most lubes are derived from petroleum, but a handful use biodegradable vegetable oil instead. They're not as slippery, but are nontoxic and better for the environment.