On the ElectricToolBox.com blog there's a quick post looking at method chaining in a Zend Framework application:

Having used the Zend Framework on a couple of projects and spent a lot of time reading the documentation I discovered the use of method chaining. This post looks at how to use method chaining in PHP.

His examples include a comparison between a method-chained Zend_Mail example and a non-chained method with each line augmenting the same object over and over. He also includes the simple-as-pie method that lets you use chaining in your own applications - returning the object itself.