You have to make sure you really get into the links too when using spray lube, and do it by moving the rear wheel by hand, not when in gear and the wheel spinning on the centre stand.
It will be much more effective when the chain is warm too, so if using a spray put it on straight after you've been out on the bike.
I've always found Wurth chain lube, or wax, to stay put on the chain the best out of all the ones i've tried.