I used WD40 as a chain lube exclusively when I had my KLR. I never had any issues and (at the time) remember reading about the KLR guy who had crazy high mileage using nothing but WD.
If memory serves (and since it hasn't been mentioned), the rationale:
You chain is already lubed... for life... that's why it has O or X rings - to contain the lube.
Wait, so your chain is NOT lubed for life, it's lubed for the life of the O or X rings which retain the lube.
So, the enemy of chain life is O or X ring damage or degradation, NOT failure to slather a bunch of slippery stuff on the outside of the chain. Dirt, grit, grime, sand, etc. abrade the seals, so anything that cleans the dirt away without chemically degrading the seals will extend chain life.
Inasmuch as a frequent dousing with WD to remove dirt and grit from the O ring seals accomplishes this, I'm a believer. That is, I think (as someone may have already said) you're better of using nothing but WD40 to CLEAN your chain FREQUENTLY, than you are using a high-end lube and never cleaning your chain.
My (likely flawed) understanding of the mechanics at the roller/ sprocket tooth junction: the rollers engage the sprocket, staying put, and the pins ROLL inside the lubed roller. There is no relative motion between the rollers and the sprocket (once engaged). The pins being sealed in a bath of lube by the O or X rings is because this is where ALL relative motion DOES (or is supposed to, at least) take place. The inner and outer plates aren't in physical contact (they're separated by the rings), so lubing the outside of the chain serves no purpose, other than retaining grit close to the O rings (bad), and possibly inducing a relative motion between the outside surface of the roller and the sprocket valleys (also bad). Huh, I think I talked myself into it.
DISCLAIMER: don't know WTF I'm talking about - just thinkin' out loud.