Chainloading is when a boot loader loads another boot loader to begin the boot process. When using GRUB with a Linux distro and Windows dual boot, for example, with GRUB being installed on the Master Boot Record it must load the Windows Boot Loader to boot Windows.

Boot to Grub
|
|---Boot Linux
|
|---Chainload Windows Boot Loader
|
|--Windows Boot Loader
|
|--- Boot Windows

Now, if you have a Linux only system, GRUB can boot each of them directly without chainloading just by modifying the main distribution's grub configuration (installs typically take care of that automatically) and reapplying it. However, you can, if you so choose, elect to install GRUB in the root partition of each new install. In that case you would have to chainload from your MBR install of GRUB to the GRUB located on a specific root partition.

Chainloading simple allows your bootloader (usually grub) to boot a second bootloader. In Linux, it's commonly used to use grub to dual boot a Windows install with a grub-1 entry like this (would load Windows from the second partition of the first hard disk device):

title Doze
rootnoverify (hd0,1)
makeactive
chainloader +1

Chainloading can also load a second instance of grub. This is useful for times when you run a second Linux install and then choose to have the installation install it's bootloader to the partition of the install rather than to the disk's MBR. Remember, the MBR can only have one bootloader installed to it at at time, so second or third OS instances shouldn't over-write the MBR. If this is what you are wanting, then a grub-1 entry for chainloading Linux would look similar to above, with the exception of the not-required makeactive line:

title Some other Linux
root (hd0,1)
chainloader +1

That will simply bring up the bootloader installed from the second Linux install you did, assuming it is on sda2. Alternatively, you could select to use no bootloader during the second Linux install and simply use your first grub instance to load your second distribution by adding an entry in your menu.lst/grub.conf.

Either way, the important thing to remember is when using multiple operating systems on one system, do not clobber the MBR entry with each install and do make sure that whatever bootloader you have on the MBR is capable of either chainloading additional bootloaders or can be configured to boot your additional operating systems directly.