Are chain-drive gears 'ridiculously' efficient even when dry of oil?
If the efficiency gains of an oiled
  chain are minor then that means the
  main reason for oiling the chain is to
  reduce wear/prevent rust rather than
  efficiency/speed. This is why I would
  like to know the efficiency of a chain
  when oiled as well as dry.


As explained in the IHPVA paper linked in moz's answer, apparently lubricating the chain makes little difference for efficiency, so yes, it's mainly to "reduce wear/prevent rust".

However, you should note that the IHPVA paper apparently used a new chain in mint condition. It may well be that the lubrication does not make a difference in this case. Still, an unlubricated chain will corrode much faster than a lubricated one, and corrosion does make a huge difference in efficiency (as it increases internal friction).

So in practice, lubrication include efficiency, though indirectly (by preventing corrosion).