Start by creating a single Torus with the dimensions of the type of chain link you want for you scene. Obviously this can be any shape you would like. Name the torus Chain_link.
Next we will give the link physical properties. (By doing it now, it will also set the attributes to the links we will be cloning shortly).
Make sure the link is selected. Once selected go to menu - Reactor > open property editor.
The Rigid Body Properties window will open. For this tutorial I will be using the settings
Mass: 6000.0 (how dense your "link" will be)
Friction: 1.0 (How "smooth" the link will be when rubbing against another link)
Elasticity: 0 (How "stretchy" your link will be)
Make Sure to choose concave mesh
or this will not work properly.
Now you will want to "clone" your link (what ever axis you want). You can do this by holding shift and moving the link in your chosen direction. Make sure that when you do this that you only move the copying link far enough to keep the old link and the new one connected.
You will get this pop up. (I chose to make 15 copies) Click OK