Pretty much all bike lock manufacturers also make a chain. Kryptonite, OnGuard, etc. The difference between these and a home depot chain is that the lock-specific ones are hardened. They are also very thick and heavy, but thickness matters much less than hardness in this case.
Bottom line though, is that if someone wants your bike, they WILL find a way to take it. Nothing is immune to a cutoff wheel on an angle grinder. Sure it's loud, but it also only takes 30 seconds and most people won't say anything out of either apathy or fear. U-locks and chains are also susceptible to jacks, which expend inside either the shackle or a link to break it open. Your chain will also only be as strong as the lock you put on it. A lock is just a deterrent. Another deterrent is your locking technique (best - lock rear wheel with frame onto bike rack, lock front wheel to frame, or take the front wheel off and lock all 3 together at the same time), and that won't cost you a $150 chain to learn. Also bring the bike inside every night.
FWIW I use a Kryptonite Mini U-lock and have never had a problem with some pretty nice bikes ($500-$1000 range) in an urban-ish area. I lock around the seatstays and through the rear wheel, and leave the front unlocked (bad me, tsk tsk). The Mini is less susceptible to jacking because there's basically nowhere to put one once the bike is locked to something, plus it's a little less expensive.
