Hey guys,
I started this tutorialand somehow it does not work for me. What happens is, when running simulation, only topmost chain link, one before last drops down and rest stay rigid. I followed the tutorial to the point, so I wonder what is wrong. Got any advice? Thanks 
chain.blend (4.8 MB)
I looked at your file. Them main problem is, that only one chain link has set to rigid body. Also under the physics tab, there is an option called “change shape”. You have to set it on “mesh” to make it work. Select all chain links, make them all rigid bodies (they will be all outlined in green after you have done that), set them to active, and change from “convex hull” to “mesh”.
chain 001.blend (4.78 MB)
Thanks for time&effort
I got the chain to a)fall down b)not explode, which is really cool. There was just one problem: When I selected entire chain with Ctrl + left mouse button and have applied physics and mesh attributes to it - they did not work. As I see, that was also my initial problem.
Thus I was forced to click each and every link and give it first proper physics and then proper mesh properties. Am I doing something wrong? How could I apply these attributes to entire chain at once?
It worked for me. I selected everything with circle select ( C ). I did remove the physics from the one link you already did first.
Tool shelf physics tab has copy from active button which copies the settings from active object to all selected. Could also change the physics settings and then right click on the property -> copy to selected.
chain 002.blend (180 KB)