Parafin wax vs wet lube for bike chain lubrication?
I have been using paraffin wax this year on my &quot;fast&quot; road bike as a bit of an experiment. This was using the hot wax approach, where paraffin wax was melted (in a slow cooker) and a clean chain dipped in the hot wax.
Pros

Very clean drive train, even after 2000 km the cassette and rings sparkle. Straight paraffin (i.e., without bees wax) does not attract dirt. I rarely find myself cleaning the drive train as it just isn't needed.
Efficient - feels quite efficient when pedaling. Nothing earth shattering, just a positive feel. Perhaps this is confirmation bias, due to the Velonews research.  I haven't tried to quantify any differences yet.
Longer period of time between maintenance. Typically 400-600 km between needing to reapply.
Reapplication of hot wax can be quick 15 min - if you have the setup.
Lower wear rates.  My preliminary results have shown lower wear rates relative to wet lube, but I need more data before I can sign off on this. See ParkTool CC-2 chain checker incorrect readings for an example of how to measure chain wear rates  precisely measured in the field.

Cons

Time consuming to prepare a chain for first waxing (ALL LUBE must be removed).  This step is critical and time consuming (see below).
Chain runs a bit nosier, especially if cross chaining.
Chain must be removed from the bike to re-wax
More paraphernalia required (e.g., slow cooker, wax, gloves, solvents, jars)
You need to be organized. Wet lubes are easier, if you don't plan.

Typically, I have about 3 chains pre-waxed which I rotate once the wax has worn off.




Additional Details on Hot Waxing
When done right paraffin wax adheres to the metal and takes up the space between the rollers and inner links. Because the wax is solid at room temperature, this means the chain is running on a film of hard wax, which increase efficiency and reduces roller wear.  This only works if you prepare the chain correctly, otherwise the wax will not adhere and the wax will not remain between the rollers and inner plates/bushings (inner plates act as bushings in modern chains).
Initial Preparation
Probably the most critical step for a successful hot waxing is preparing the chain.  All lube must be stripped off. EVERYTHING. No residue, just bare metal.  This is actually more difficult than it first sounds. I typically follow this tutorial by Molten Speed Wax (although I haven't tried their wax yet). The mineral spirits do a good job of stripping out oils, but they do leave a residue.  Mineral spirits is therefore followed by rubbing alcohol (isopropanol) baths, which leaves bear metals.  After drying the chain is ready for a hot wax treatment. Regular bike degreasers will likely not be strong enough.
Solvents are expensive and potentially harmful to the environment so I  reuse my solvents, but moving them down the chain. I use about 6-7 sequential baths (4 mineral spirits, 3 alcohol).  Tedious! Afterwards solvents will need to be disposed/recycled at the proper facilities- not down the drain!!!

Example of the debris removed from a new chain after the first solvent bath.
Multiple Chains
Because of the tedium and work involved I tend to prepare batches of chains then rotate them on a bike.  This makes re-lubing as easy as swapping a chain. I also use master a link, which I tend to reuse a number of times before replacing.
Re-waxing
Re-waxing is as simple as wiping any dust or dirt off of the chain and re-inserting into hot wax again. Any remaining dirt tends to fall out of the chain as you mix the pot, settling on the bottom.  Afterwards you can cut out the dirty wax which settles to the bottom of the pot.  I typically keep my re-waxing wax separate from my first time wax which is pristine.
Known Unknowns
Right now I get good longevity in the dry, even better in the cold and dry (as the wax is harder), but I have no idea the longevity in the wet and muddy.  I remember the Velonews test showed good friction performance (the paraffin keeps out mud) but I am not sure anyone looked at longevity (i.e., how long before re-waxing).
Once I set my commuter up on a waxed chain I will have a better of how this may pan out.

UPDATE 1: Wear Rates
The wear rate of Paraffin treated chain is significantly lower (p &lt; 0.001) with a wear rate about 40% of the wear rate measured while using oil.  In the figure below oil was used on the chain for the first 100 hours before switching to paraffin.  The slope of the regression lines indicates the wear rate, with the shaded region indicating the 95% confidence region for the regression line. Note that the measured wear drops slightly after switching to paraffin, my best guess is that the wax fills some of the space between the roller and pin, effectively reducing measured stretch.


UPDATE 2: Wet weather
Wet weather riding with a paraffin waxes chain is a mixed bag. The waxing doesn’t last as long as in dry weather due to the wet and grit wearing away the wax. Typically torrential down pour conditions on gravel tracks I get about four one way commutes (about 100 km) before I swap chains.  If it is light or misting rain I can get a week’s worth or more. To rewax the chain I wipe off the dirt off the chain with a wet rag, let the chain dry then throw it into the hot wax.
The one big plus is that the drivetrain remains relatively clean and can be polished in a couple minutes with a wet rag. Wet lubes would produce a nasty mess under the same conditions.
In the end there is no free lunch, there is always more  maintenance in winter.