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:
- Your EssentialSSL Certificate – 
www_example_com.crt 
- Intermediate CA Certificate – 
EssentialSSLCA_2.crt 
- Intermediate CA Certificate – 
ComodoUTNSGCCA.crt 
- Intermediate CA Certificate – 
UTNAddTrustSGCCA.crt 
- 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:
- Your EssentialSSL Certificate – 
www_example_com.crt 
- Intermediate CA Certificate – 
COMODORSADomainValidationSecureServerCA.crt 
- Intermediate CA Certificate – 
COMODORSAAddTrustCA.crt 
- Root CA Certificate – 
AddTrustExternalCARoot.crt 
cat www_example_com.crt COMODORSADomainValidationSecureServerCA.crt COMODORSAAddTrustCA.crt > example.com.chained.crt