Chain

1) Create a new layer and elect an elliptical area the size of your chain link. Fill with any color.

Use Select->Modify->Contract with a reasonable value (15 in this example).
2) On the same layer, select a rectangle the height of your ellipse.

Use Select->Modify->Smooth (a value of 5 pixels was used here).

Fill with any color.
3) Apply the following, with default settings except where noted.

Drop Shadow: Distance: 0, Spread: 0, Size: 3

Bevel & Emboss: Depth: 91%, Size: 21px, Soften: 0

Gradient Overlay: Style: Reflected, Angle: 90
4) Create a new, blank layer and merge with your previous layer to flatten the layer style.

Apply Filter->Noise->Add Noise with these settings: Amount: 10%, Distribution: Gaussian, Monochromatic
5) Rearrange your shapes as shown.
6) Duplicate as many times as needed.

Create curved chains by rotating the individual segments.