This stitch is a fancy variation of the Chain Stitch where the "links" are connected by straight lines. The links tend to be more oval-shaped instead of teardrop-shaped.

You stitch the connecting line and the link in the same step. Wrap the thread around the needle once before inserting it a little bit away from the previous link. Catch the thread under the needle when it emerges, as shown in this drawing. Pull the wrapping taut before pulling the needle through - you want the straight line to be tight and the link to be loose enough that it falls into the shape of an oval.