Proxy chaining means routing a single request through two or more proxies in sequence rather than just one, so the final destination only ever sees the last proxy in the chain.
Why people chain proxies
Each additional hop adds another layer of separation between your real IP and the destination server, which can matter for situations where losing anonymity at any single point in the chain would be a bigger problem.
The real cost
Every additional proxy in the chain adds latency, since your request now has to travel through multiple extra hops instead of one. Chains of more than two or three proxies tend to become noticeably slow for interactive use.
Is it worth it?
For most everyday tasks — casual browsing, basic scraping, testing — a single well-chosen proxy is enough, and chaining adds complexity and slowdown that isn't justified unless you have a specific reason to want multiple layers of separation.