Seems like more and more guitar heroes are doing it. In fact, Stevie Ray Vaughan credited a good deal of his signature sound to the combination of various amps. Of course, it's really nothing new. Back in the 1960s, guitarists linked several smaller amps together to compete with those big, new Fender Bassman and Showman piggyback amps. The only requirement is that each amp in the chain (except for the last one) have two inputs. Basically, you plug your guitar into input one, then take another guitar cable and plug it into input two. Now feed that signal into another amp. Keep going until you run out of amps. Not only will you sound great, but that pile of amps behind you also looks pretty impressive. Typically, the best sound is produced by mixing various amp models from different manufacturers. A Fender with a Vox and then chained to a Marshall will probably sound better than three Fender Twin Reverbs chained together.

Under no circumstances should you plug the speaker output of one amp into the guitar input of another. (Unless, of course, you have an endless supply of amps you want to get rid of by blowing them up!)