A nuclear chain reaction occurs when neutron amounts are multiplied by fission. A neutron triggers a fission, which causes the fissioned atom to release multiple neutrons. If of those multiple neutrons, one on average causes another fission, we have a controlled nuclear chain reaction such as in a nuclear reactor, whereas nuclear explosives have an exponential multiplication due to more than one of the released neutrons causing other fissions.
However, what I have always wondered about nuclear chain reactions is: how does the chain reaction start? There has to be a neutron somewhere starting the chain reaction.
According to Wikipedia article about free neutron decay if there happens to be a free neutron somewhere, it has a half-life of only 10 minutes and after that time decays to proton and electron (and a neutrino). So, based on this, free neutrons should be really rare -- after all, the universe is over 13 billion years old so any remaining free neutrons should have had about 0.7*1015 half-lives to decay.
There are obviously some processes that release new neutrons. For example, some atoms can spontaneously fission. In plutonium-239 bombs, there is always some amount of plutonium-240 present that releases neutrons due to spontaneous fission. Thus, any nuclear explosive made of plutonium needs to be assembled to above critical mass extremely rapidly and the percentage of plutonium-240 must be kept low, or else the chain reaction starts too early, when the mass is not yet above the critical mass by a sufficiently large margin.
However, uranium-235 bombs and nuclear reactors that today mostly burn enriched uranium-235 should not initially have any plutonium-240 when loaded with the fuel. Obviously plutonium-240 is later formed due to two neutron captures by uranium-238, but initially it should not be present. Also fission products may emit delayed neutrons but when the reactor is initially loaded with fuel, there should be no fission products nearby.
So, how does a nuclear chain reaction start? How does the first neutron reach the critical mass of a fissionable material?