Additionally, the ingredients to WD40 are on Wikipedia[1] and Wired had a mass spectroscopy done and published even more precise details[2].
[1] http://en.wikipedia.org/wiki/WD-40#Formulation
[2] http://www.wired.com/science/discoveries/magazine/17-05/st_w...
Bonus: What people think they can use WD40 for: http://www.snopes.com/inboxer/household/wd-40.asp
It will provide some lubrication for a while, true. But it will also dissolve any of the proper lube that is there, so when the WD40 is chopped up by the chain you'll be left with nothing.
I like the Shimano PTFE dry lube[1] but there are plenty of other brands.
[1]http://www.chainreactioncycles.com/au/en/shimano-dry-lube/rp...