Lube questions are very personal.
:D
That said, I pick lube based on riding conditions. If you're riding in the desert or very dry/dusty conditions, use dry lube. The idea is that dry lube will attract less dust and debris and keep your drivetrain cleaner. Cleaner means less wear.
It's never that dry around here, so I go between a light wet lube for spring/summer/fall riding (I use prolink progold, but there are plenty of others that are just as good) and a heavy wet lube for winter riding through salt, snow, and slush (white lighting wet ride - but again, there are others out there).
Spring/summer/fall I'll relube my chain every couple weeks (usually about 400 km) or after every long wet ride. You don't need to go crazy, just wipe the chain off with a rag, put a drop of oil on every link, wait 10 minutes, then wipe off any excess.
Winter bike gets it's chain cleaned and then new lube after every salty ride, otherwise the chain will rust and the links will stick.
