I've been buying SRAM chains for a while and they seem to always come pre-lubricated with a very sticky coating. Apparently on SRAM chains it's a type of wax, traditionally a blend of paraffin wax and beeswax, with some kerosene usually added to thin it for application, and makes an excellent lube.
Sheldon Brown's advice:
This factory [chain] lube is superior to any lube that you can apply after the fact.
Some people make the mistake of deliberately removing this superior lubricant. Don't do this!
However if your chain came coated with heavy packing grease, you might want to wash that off with a chain cleaner and apply wet lube.
I've been putting a little solvent on a cloth and wiping some of the coating off the outside (only) of the links with a few backspins. Definitely not a chain wash or a soak, making sure to leave the factory lube/wax on the internal parts.
More info found on the interwebs:
The "goop" on SRAM chains is GLEITMO, an expensive and decently long lasting lube. Don't wipe it off. Shimano and other brands use corrosion inhibitor for packing and that can be removed.