I found this Ah-Mazing DIY Tut over on Honestly...WTF. I have lots of embroidery thread that I purchased from Michaels a while ago and was looking for a good project for them and Voila! This one is tons of fun. It's quick and at first its difficult to maneuver braiding the thread through the chain but after two links I got into the groove of it.
*I want to note that its Crucial to keep the threads neat and "combed" through so it doesn't bunch up in the braid.