New chain is pre-lubricated, should I clean it before use? My new chain is totally coated in lube. I would never ride a bike with a chain like this normally. All that goop is just going to collect flotsam from the road and wear out the chain.

Should I clean this coating off the new chain too?
The coating is generally a form of wax, which is an excellent chain lube, and less apt to attract dirt than most chain oils.  All you really should do is wipe off (with a dry cloth) any excess.  

If the wax seems excessively heavy you can add a little solvent to the cloth, to just wipe off the outer coating.  You want to leave the lube on the inside of the chain, where it's really needed.