Keeping your motorcycle's chain properly lubricated will ensure that you get plenty of miles out of it. Lubricating your chain takes a couple minutes, so there's really no excuse to not do it. Chain lube is cheap, too, making this one of the easiest and least expensive motorcycle maintenance tasks you can do.
Motorcyclist magazine created a good video that shows you how to properly lube your chain. Check it out. It's a quick video that tells you what you'll need and how to get the job done.