If you go to just about any motorcycle store they'll have lubricants specifically formulated for motorcycle chains. I used to have this fantastic lube made by Dow, best I'd ever seen. They of course don't make it anymore. I now use stuff called PJ, its got paraffin wax in it and really sticks to the chain. Here's a helpful youtube video from its makers:
You want to lube up the chain after every other fill up, at least that's what I do. Just a little bit in where the links slide against each other. Like the other fellow said, once or twice a season clean the chain off with WD 40 or petrol and reapply.