My bike seat [bike] chain lock really isn't anything wildly different, but I think it looks quite a bit better by using a little less chain and shrouding the chain in a piece of innertube.
Step 1: Materials, Tools
Go to your local bike shop and nicely ask for an old chain that they've discarded. The nice bike mechanic should oblige you with some old chain - 2 feet should be more than enough. If they say you'll have to buy one, I'd go to another shop - bike shops usually have these things in the garbage can so I wouldn't pay for one (although bike mechanics always like tips - throw em a few bucks and the next time you get your bike serviced there, there's a good chance you'll get A+ service).
Greasy chains are good. Although they're messier to install, the grease ensures that the chain won't rust and deposit rust marks where the chain is looped around your frame.
You'll also need a chain break and around a foot of innertube. I use some 700c by 18-23. Certainly you can use any size that you want, but like I said earlier: loose = stupid looking; you don't want anything flapping in the wind.
Step 2: Pin in Last Link of Chain
If the bike mechanic gives you some chain and it doesn't look as pictured, don't fret. Use your chain break and take a link of chain off, but don't push the pin all the way through.
If this doesn't make sense, you've probably never used a chain break; after you use it once, perhaps twice, it'll be pretty obvious.
Step 3: Break the Chain, Cut the Tube
You should have one end of the chain that looks like the pic in the previous step (with the pin in it), and the other end should look as pictured here.
At this point, cut some innertube. This is also ok to leave a few inches long - I cut the innertube where my fingers are, which you can see are a few inches below where the chain wraps around the rear triangle.
Step 4: Connect the Chain
Loop the chain over the seat rail, but leave one end hanging a few inches above the rear triangle. Equivalently, the other end of the chain will be a few inches below the rear triangle.
Then feed the innertube over BOTH ends of the chain, and feed the entirety of the innertube over the chain, so that the tube is bunched up and both ends of the chain are exposed. Get something thin and insert it through both sides of the chain so that it keeps the innertube from sliding down (you can see in the picture that I used a small drill bit, or an old spoke is a natural chioce).
Then loop the chain around the bike frame and connect the chain.
Step 5: And You're Done
Note: Over time the chain will probably wear the paint on your bike. For another one of these that I made a while ago, I cut a slit in the tube and somehow looped the tube back into itself, so that the tube was between the chain and the frame. It was kinda like a Klein Bottle. It's been a while and I can't remember how to do it, but it's possible.
Now that I think about it, you'd just cut a slit in the tube just above the main cut and pull one end of the chain out, then expose the other end of the chain through the main cut where you cut the tube to length. Connect the ends of the chain and then feed the tube over the exposed part [that you just connected], and up into the slit. Yeah, it's just like a Klein Bottle (or an approximation of one in 3 - space).
Bingo - the tube runs the entire length of the chain (except where the chain loops over the seat rail), and is in between the chain and the frame of your precious bike.
If there's a groundswell of interest, I could post how to do it in an update.
I made this instructable at TechShop! Although you can't make proper Klein Bottles there (or any other object that lives in 4-space), you can make pretty much anything else!