1. Create a new document and apply a gradient to the background so you're not working on a solid color. This helps your eyes with adding realism to your chain. I personally always work on a gradient or textured background unless I need the solid color for some reason.
2. Switch over to your Channels palette and create a new channel. Select your rectangular marquee tool and make a rectangle and fill it with white. I made my rectangle 150px wide and 90px heigh.
3. Deselect (Ctrl+D) and goto Filter -> Blur -> Gaussian Blur... I blurred mine with a radius of 25px. Depending on the size of your rectangle, you may need to adjust your radius. It should end up looking something like this:
4. Open your Levels dialog (Ctrl+L) and drag your end sliders close to each other around the center. It should look something like this. What this does is smooths out your gradient to a nice curve.
5. Select your channel (Ctrl+Alt+4) then goto Select -> Modify -> Contract... I entered 15px. Now goto Select -> Modify -> Smooth... I entered 10px. Now fill your selection with black. Deselect. You should now have the shape of a single link. Here's what mine looks like:
6. Now duplicate this channel (Drag it to the new Channel icon at the bottom of the Channels palette). Select the channel (Ctrl+Alt+5) and goto Filter -> Blur -> Gaussian Blur... I blurred mine with a radius of 4px. Now invert your selection (Ctrl+Shift+I) and fill it in with black. This will eliminate any jaggies that appear around the edges.
7. Select the paintbrush tool and grab a soft brush. Mine has a radius of 65px. Turn your Opacity down to about 20% and start painting in the corners black. You should end up with something like this:
This will create the twisted look later on. The darker corners represent the lower part of the twist.
8. Now goto your Layers palette and create a new layer. Fill it with black. Now load up the last channel you made (Ctrl+Alt+5) and fill it with white. Load up your first channel (Ctrl+Alt+4) and hit Ctrl+J. This will make a new layer with a black and white link on it.
9. Move your link around and rotate it until you're happy with its position. Now just erase the part of the link that's over the lighter/higher part of the link underneath it. You should end up with something like this:
Keep repeating this process until you have your whole chain.
10. Now you're probably going to have alot of layers, one for each link. What you're going to do now is merge them all together (Ctrl+E) EXCEPT for the background layer. You should end up with one layer over your background that has your whole chain on it. Select this layer (Ctrl+A) and cut it (Ctrl+X). Now switch over to your channels palette and create a new channel. Now paste (Ctrl+V). You should now have your chain as a channel.
11. Duplicate this channel and open your levels dialog. Now grab the white slider and move it over to the left until it looks like this. There may be a few jaggies, but that's ok.
12. Switch back over to the Layers palette and fill your empty layer with 50% gray (Shift+F5, then select 50% gray from the drop down menu).
13. Now goto Filter -> Render -> Lighting Effects... and set your setting like this and hit OK. Now load up the last channel you made (Ctrl+Alt+7), invert your selection (Ctrl+Shift+I) and hit Delete. Your image should start looking like a metallic chain.
14. To get that chrome look open up the Curves dialog (Ctrl+M) with your chain layer active. Play around with the curve to your liking, this is what my curve looks like.
15. Now you can add things such as colored reflections and a dropshadow to your chain. My final product looks like this:
