welding chain links?

went to lowe's tonight to pick up some chain, but wasn't sure what kind i can weld. there was galvanized, shot peened, and zinc plated. im just wanting to mig weld the links together. will any of these work, and if so what do i have to do to it before i weld? or is there somewhere else that has raw steel chain?

I can get raw chain at a local steel/salvage yard out here.

Out of all of them I would stay clear of the galvy. If you can't find the raw chain, I would probably get the zinc and let it sit in muriatic acid, then clean it off and weld it up.