I've heard a lot of squeaky chains lately. Keeping your chain well-oiled is the easiest and most effective way you can prolong the life of your parts.
You can use any sort of oil to lubricate your chain (except for WD-40!), but a specialized chain oil is best. There are many opinions on how to properly get the oil where it needs to go. I like to put the bottle on the inside of the bottom part of the chain, squeeze the bottle, and back-pedal. After a few revolutions, I'll take a paper towel and hold it over the chain as I back pedal some more, to get the excess oil off.
Tada! You're done, and can now ride your bike around town quietly, like the urban ninja you are.