Each link of your bicycle chain has a small gap where metal pieces rub together. This gap needs to be clean and well-lubed.
Regular cleaning and lubrication of your chain will help prevent your drivetrain from wearing out. A dirty chain or poorly lubed chain also can be stiff and make your shifting skip.
You should clean and lubricate the chain when it is dirty, dry or begins to sound noisy. If you ride every day, you should clean and lube the chain at least once a month.
There are several chain cleaning tools available. These are simply a mechanism with brushes that pass your chain through a cleaning solution. You can buy one from your local bike retailer or from an online bicycle shop.