One of my favorite chains is a fine cable chain. This chain is delicate, yet durable, and doesn't overwhelm the other beads and components of my design. However, it is impossible to get jump rings through the links to attach a clasp.
To solve this problem, you can use crimp ends which are basically like crimp beads with loops on the ends. Simply insert the end of your chain into the tube and flatten. I have also discovered a much more elegant trick. Even the finest cable chain will work with 26 gauge wire. Find a coordinating bead, such as a 4mm crystal bicone and wire wrap the clasp to the chain. The end result is much nicer than using clumsy looking crimp ends that are out of proportion or a mismatch to the style of your piece.