How often should I lube my chain?
Lubricate when needed.  I don't think it's possible to put a mile marker on when to lube.  I think most people add chain lube too often.  Too much can cause debris to build up on the chain.  Too little lube can cause unnecessary friction; but you'll know pretty quickly by the looks (and possibly sound) of it if you have too little lube.

Hints:


Wipe your chain off before you add
more lube.[*]
Is the color black?
Is it greasy?
Wipe all that schmutz off until it's
looking dry.
Add lube while rotating cranks.


Tips:


Lube the night before you ride: this
gives the lube a chance to 'spread'.
Wipe the excess off immediately
before you ride - but not until dry
as above.


^ [*]. Wiping off the chain is best done in a work stand or while the bike is in a position where you can rotate the crankarm such that you can hold a rag to the chain while the chain is moving.