What is the big deal with using a chain, as a locking device, rather than cable or armored cable?  Basically chain is hard, flexible cable is soft.  Hack saws can cut cable very fast, however armored cable like ABUS Steel-O-Flex 1000 or 1050 models provide the best of both worlds.  Chain is like this:  It either cuts or it doesn't, there really is no middle ground. There are really only a few factors when considering a chain that need to be known.

What material is the chain made of?
We have seen 1" diameter chain cut like butter and we have seen 5/16" (8mm) shackles resist cutting like it was core hardened 10mm chain.  Why?  Because of the material it is made from and the hardening process.  ABUS chains and locks, for instance, are constructed from a special chrome molly tool steel composition which, when properly hardened, becomes virtually impervious to cutting while remaining ductile.  All high-end ABUS locks are put through a freeze test at -40 degrees Celsius.  Freon and CO2 only get down to about -20 C.

What is the diameter of the chain? 
We have chain up to 16mm (5/8") thickness.
A good security chain starts at 10mm. ABUS Magnum Chain is 11mm (7/16"), Super Magnum is 12mm (15/32") in diameter and the new Abus Maximum Security chains are available up to 14mm thickness. Usually, if the link is under 9.5mm, it won't matter what the link is made of or how hard it is, a good 3 foot bolt cutter will cut through it.

How is the chain hardened? 
Case or Core, what's the difference?  How is hardness measured?
Case hardening is very inexpensive and provides virtually no protection against bolt cutters. The case hardening process is usually only a few thousandths of an inch deep.  An analogy would be a hard boiled egg.  Hard on the outside, but very soft on the inside. 
Core hardening means it's the same hardness throughout the metal. Core hardening is the only way to truly defeat bolt cutters assuming the link is thick enough.
Hardness is measured in Rockwell.  Example! ABUS Magnum Lock and Chain is a minimum 65 Rockwell which is harder than some bolt-cutter jaws.
The higher the number the harder the material.  Files and hack saws are only about 58-61 Rockwell.  Ball bearings are about 63 Rockwell.   As you can see, the Magnum Lock and Chain is harder than a hack saw blade which means you will only dull the blade if it is used on the chain.  Bolt cutters are about the same hardness as the Magnum Chain.

Hexagonal, Round or Square?
It does make a difference but only up to a certain point. Hexagonal design provides a flat surface so bolt-cutter pressure is divided over a larger surface. But this will depend greatly on the size of both chain and bolt-cutter. A 14mm Square chain link is obviously going to be stronger than a 10mm Hexagonal.

Chain & Locking systems can be used in a variety of ways and your choice of ideal locking chain depends greatly on purpose. For home/garage use, go with the heaviest chain link you can possibly get. Obviously, this also depends on your security risk factor. It would make no sense to lock up a $150 bicycle with a $300 chain system.

If you need to travel and carry the chain system along, a NOOSE chain will provide a high security level while keeping weight and volume to a minimum. A conventional 6FT chain will start and end at the lock giving you essentially about 3FT of length. A noose chain can be cinched around an object on one end and locked on the other end. Making a 4FT noose chain the equivalent of 8FT conventional chain.

This would be the ultimate in available Noose Chain systems.