For singlespeeds or hub gears, it doesn't matter much as the chain's not asked to do much of anything. I like nickel plated for all weather riding.Sram chains are indeed the best value for dereilleur bikes, again I prefer the nickel finish as it's friendly to those of us that like a dry chain exterior without rust. - Landotter

Lately it seems as though the cheap chain has gone away, Shimano and
Sram chains all seem to be about $20. I used to get chains on sale for
~$9. -Nate

Most bikes will have a decent-quality chain as original equipment, in proportion to the market segment for which the bike was built.  There is no need to be concerned in this area.  When shopping for replacements, I recommend staying with known quality brands (SRAM, Shimano, Campy, Wippermann, KMC, in no particular order) choosing the type appropriate for the setup.  I avoid no-name and WalMart-level spares like Bell.  There is seldom any important difference in operation between chains made for the same type of application, though there may be differences in rate of wear and resistance to corrosion.
Given that a good-quality chain can be had for under US$25 for most setups, and will generally last 2500 miles or more with some attention to maintenance, it's hard to justify either extravagance or neglect in this area.
There is no reason to swap out the chain on a new bike unless an immediate drivetrain upgrade mandates it, such as when going from an 8 speed rear cassette to a 10 speed.  -Werehatrack