Skill chains are usually designed to take advantage of the synergy between certain skills. Disrupting a skill chain is usually a strong way of limiting an opponent's effectiveness. For example, disabling an Assassin's Lead Attack (or causing it to miss) will usually also prevent the assassin from using an Off-Hand Attack and Dual Attack.
Alternately, "chaining" can refer to a tactic involving keeping enchantments or effects up on the party. One common example is Aegis chaining, in which monks use Aegis in order to keep it up as much as possible.
A chain in a build is normally indicated by > or ->