I am a fan of dry silicone spray or lube, you have to apply it more often but it does not collect dirt, dust and grit.
Walmart has tubes of silicone and wax products that work great for chains.
Either will do you fine.
If using grease...
Wheel bearing grease is a little thicker and will not want to fly off the gears as fast as some of the other (slicker) greases.