Chaining is a training method where several individual behaviours are linked together into one longer sequence, cued by a single command. Each behaviour in the chain acts as the cue for the next one, so the dog moves through the whole sequence with just one instruction from the handler.
A good example is a retrieve: the dog runs out, picks up the item, turns, returns, and drops it into the handler's hand. Each of those steps is trained separately before being linked into one flowing sequence.