Chain lube

I am new to bikes and would like to know if the chain should be oiled and if so what is the best oil.

I use PJ1 Black Label
It's not so much an oil, more like a wax.
Do not use wd-40, I hear it eats the seals and oil won't stick. 
I also use a "grunge brush" to get the old stuff off with a mild degreaser. 
A rear stand helps out a lot while doing this.
You will also want to warm up the chain b4 applying new lube (take it for a quick spin)
The heat from the chain allows the lube to penetrate to the seals better.
Every 500 miles or so is a good interval.
Do not leave you chain unattended, bad things can happen.
 
also, watch your fingers.
 

Thanks for the info my chain looks dry and is getting a little rust on it.Also where can I get PJ1 black label?

Clean and lube the chain every 500 miles.. sooner if you're riding in the rain alot or real dusty/dirty conditions.  Bel-Ray Super Clean chain lube is also another excellent lube to use.  That's what I use and from what everyone has told me it's one of the best.  Doesn't fling at all and sticks on there forever.... good stuff!

Don't forget to check the chain freeplay often too, and keep it adjusted properly.  And be careful of your fingers.... I just had a buddy lose a finger in a chain cleaning acciden't a couple weeks ago... wasn't pretty

You can get this stuff or anything similar at any place the sells motorcycle goodies.
Dealers should also have something. 
If all else fails, then buy online.

Thanks for the reply everyone is very helpful at this forum to new riders.