Introduction
A long iron chain can easily be made by creating only 2 parts for it. They're technically the same part in real life, but seeing as we're gonna do a basic chain viewed from one side, it will be 2 different shapes. If one were to view a chain in real life, the chain would obviously twist and bend making every chainlink look different in its own twisted way. (not a pun)


The first shape
Start with a Rounded Rectangle on a new layer. Depending on how large your document-size is, choose a radius. The larger your radios, the rounder the corners are. What we basically want is to make the corners that round that they fade into each other, making it look like it's one big corner. At some point, the radius is larger than your actual corners. This means that you will have the right amount.
Start by drawing out the shape, be sure it's set to Paths and not Shape Layers. You can edit this in the upper taskbar. When you've drawn the path, right-click and choose Make Selection. Fill the selection with a color of your choice, seeing as we'll replace it later on.

Press CTRL+J to duplicate the layer and press CTRL+I to invert the colors, making it easier for you to see what nyou're doing. Press CTRL+T and while holding SHIFT and ALT, make the shape smaller. Press ENTER when it's small enough.

While holding CTRL click on the thumbnail of the layer in the palette to select the white layer, then with the selection up, select the black layer and press DELETE. Press CTRL+D to de-select and you can go ahead and hide/delete the white layer.

On a new layer, using the same Rounded Rectangle-Tool, draw a long shape in the same length of the previous shape and fill it with a color of your choice as well.

Add these layer-styles to both shapes.

You should end up with both shapes looking like this.
If you're unhappy with the color and prefer a lighter colored chain, make the gradient a bit lighter.

Place the 2nd shape layer on top of the other one and with the Move-Tool drag the 2nd shape literally on top of the other one like the image below.

Be sure to duplicate these 2 layers and hide the originals somewhere you can always reach them. Then while holding SHIFT select both layers and press CTRL+E to merge the two layers together. When they are one shape, you can start duplicating them, scaling them and rotating them to make your chain.

Feel free to experiment and play with it. You can go nuts and do all sorts of shapes and types of chains.

Conclusion
And there you have it! Easy to make chains and due to the basic starter-shape you can make any shape of chain you'd like. If you want, you can even use a Rectangle-Tool or a Elliptical Marquee-Tool as ths shape for the links. Just go crazy!