Do you mean like this?
gears1
gears2
Briefly:
First, you have to model the two distinct links on the chain. Then you define a path using lines or curved lines. Next, you add a Path contraint from one of the links to the spline. In the Motion Tab, check "Follow Path" and reorient the link if necessary. Do the same for the second link. Then just copy and paste. It's tedious, but if someone has a better, more efficient way of doing please share
FYI:
For this scene I did, there were 250+ links and over 350,000 polygons... I even had a Multires modifier on each link and set at 20%.