Well, "best" is in the eye of the beholder.
Personally, I've gien up on the wax lubes. Either the wax is too dry, and flakes off after a few hours, or it's too sticky, and leaves a nasty buildup on your cogs and pulleys. Some did both, paradoxically. They're also bad for winter weather, since waxes harden in cold weather.
I've used Prolink, which works well for me, as well as Pedros Synlube and Road Rage. The Syn is thicker, but great for wet weather and cold conditions, while the road rage is pretty clean for an oil, but likes drier conditions to avoid washoff.
Recently I got Rock n' Roll Extreme and Gold. Both are fairly dry, and applied like Prolink, rather than a traditional oil. I haven't gotten too much mileage on them, but the Gold is very clean, while the Extreme leaves a little more on the chain, but stays smooth and quiet better in the wet. Both leave my cogs and rings nice and shiny.
As was mentioned, it's essential to clean the drivetrain before applying a new lube, since there may be incompatibilities between old and new, and any dirt and grit may effect your impression of the new stuff. I've used a chain machine (Park Cyclone) and the Gatorade bottle shaker, and both do a nice job with hot water and Simple Green. Cogs and rings get a brush with Simple Green and a toothbrush.
The R n' R lubes are pretty economical, too, and both can be purchased as pints - I got my Extreme for $14 a pint from Bikeman.com.