I’m using Comodo Certificate, you will get these files from their email:

• Root CA Certificate – AddTrustExternalCARoot.crt
• Intermediate CA Certificate – UTNAddTrustSGCCA.crt
• Intermediate CA Certificate – ComodoUTNSGCCA.crt
• Intermediate CA Certificate – EssentialSSLCA_2.crt
• Your EssentialSSL Certificate – www_example_com.crt

Correct order:

1. Your EssentialSSL Certificate – www_example_com.crt
2. Intermediate CA Certificate – EssentialSSLCA_2.crt
3. Intermediate CA Certificate – ComodoUTNSGCCA.crt
4. Intermediate CA Certificate – UTNAddTrustSGCCA.crt
5. Root CA Certificate – AddTrustExternalCARoot.crt

You can create a chained certificate required by Nginx:

cat www_example_com.crt EssentialSSLCA_2.crt ComodoUTNSGCCA.crt UTNAddTrustSGCCA.crt AddTrustExternalCARoot.crt > example.com.chained.crt

In fact, you can only need the first three certificates: most systems have their root CA.

cat www_example_com.crt EssentialSSLCA_2.crt ComodoUTNSGCCA.crt  > example.com.chained.crt

Update Mar 21, 2015:

Comodo updated their certificates filename, so the correct order now is:

1. Your EssentialSSL Certificate – www_example_com.crt
2. Intermediate CA Certificate – COMODORSADomainValidationSecureServerCA.crt
3. Intermediate CA Certificate – COMODORSAAddTrustCA.crt
4. Root CA Certificate – AddTrustExternalCARoot.crt

cat www_example_com.crt COMODORSADomainValidationSecureServerCA.crt COMODORSAAddTrustCA.crt > example.com.chained.crt