I don't have any chained together anymore thanks to using all Antec True powers with mega connectors. But before I've had several extensions or Y-splitters/fan taps all chained together. The only thing it would hinder is a small voltage drop due to resistance of the cable, and possibly a bigger chance for a poor connection, but nothing major.
back when i had hardcore fanage in my full tower they were all chained together so that they didnt interfere with anything. i recall there were 8 total (bout 6 80mm the hsf and a chipset)