You know all those brightly colored Christmas catalogs that you look through and then never order from? Put them to use. Cut strips 4 inches long and 1 1/2 inches wide from the brightest colors. Fold a third of each edge in on each strip. This will help make the chain sturdier, but if you have lots of heavier paper you can just cut the strips a half inch wide instead. Make a chain from these strips by making circles of each one and inserting... you know how to do that. Fasten with tacky glue or staples.
Tip: Cut the strips from pages that have the best colors, but don't worry so much what the pictures are of. You won't notice that once the chain is made.
You can adjust the size to suit yourself and your tree, windows or other decorations.