A thick lube will stick to the chain, offer better weather protection, but will attract dirt. A light oil will keep the chain clean but wash away easily.
The correct answer on what is best for a chain depends on when, where, and how you ride. And also on how much effort you want to put into maintaining the chain. Thicker lubes needs more cleaning, thinner oils need more applying.
Given the cost of decent chains and lubes, you could probably just get a cheap basic chain, a quick light oiling every time you go out, then replace the chain whenever required.
Also, do not forget wax, less messy than lube, better for dry weather, more cleaning effort.