I recently tried a bunch of different chain lubes (Pro Gold, White Lightning, Tri-flow, Boeshield T-9, Rock-n-Roll, etc.) I found that the "cleaner" lubes, while being okay for dry conditions, did not hold up well in wet conditions. ProGold was the "cleanest" lube (thin, easy to apply, did not gunk up at all) but it did not hold up well in wet conditions at ALL. The "typical" wax based lubes tend not to last too well in wet, muddy conditions either. The one lube that in my experience had the best overall performance was Boeshield T-9.
Boeshield is not as clean as the cleanest lubes (like ProGold) but it's really not too bad -- it does get a little gunky in moderate conditions, but it's not nearly as bad as other lubes in this respect, and in dry conditions it actually stays quite clean. Of all the ones I tried, it held up the best in sloppy conditions -- it's the only one that could get a bit muddy and still remain lubed after the mud washed off and/or dried. The other lubes all resulted in a squeaking chain after sloppy conditions, but not the Boeshield.
While my tests were by no means "scientific," I did try to give each lube a decent amount of time before formulating any opinion. I used each lube over a period of time while riding in the same general areas, sometimes going through more than one bottle before switching. In the end, the Boeshield ended up being the one I am currently sticking with. It penetrates well, it's a water displacer and rust preventer, it lasts longer than other lubes, it stays clean in dry conditions and decently clean in sloppier conditions, and it holds up well in sloppy conditions.
The one thing that I 'thought' would be a problem with Boeshield is that you're supposed to let it dry for a few hours, then wipe the excess off before using it. Apparently, the solvent that is uses in order to achieve good penetration takes a while to dry. I thought this would be a problem, but it turns out that it's not hard to get in the habit of cleaning or lubing the chain AFTER a ride rather than right before. That said, I did use the lube a time or two without giving it the full drying time and it still seemed to work okay -- it just got a little more dirty.
There are a lot of differing opinions on chain lube, so you need to try them yourself to see which works best for you given your specific needs and riding conditions. I'd recommend you give Boeshield a try.
Larry