Most modern chains are directional and they need to be installed on your bike in the correct orientation. If you take your chain off your bike to clean it - and if not, why not?! - then make sure it's reinstalled correct.
For example, Shimano chains should have the writing visible, and the quicklink points in the direction the chain moves. SRAM Flat-top chains have the flat edge on the top. And make sure the chain is running through the derailleur correctly!