> I would expect WD-40 to work fairly well because it cleans the chain and gets the filth out of the links

That it does, but it doesn't leave much lubricant behind, which you need for a properly functioning chain. As you know, you want something that will get between the pins and rollers and stay there, minus the grime that would turn it into grinding paste. Which is probably why some people swear by wax, but that sounds like a giant hassle.