A WebmasterWorld thread discusses the implementation of 301 redirects on a newly constructed site.
WebmasterWorld administrator, Tedster, adds to the discussion that he has seen that a chain of 301 redirects does not always pass the link popularity along.
For example, you have URL1 that is redirected to URL2 and then have URL2 redirected to URL3. In this case, Tedster seems to imply that URL1 will not pass link popularity over to URL3. It will not carry over from URL1 to URL2 to URL3.
Instead it seems that if you need to set up a third redirect, you should change the original redirect from URL1 to URL2 to URL1 to URL3 directly. This way there is a direct redirect from one URL to an other, without having to go through multiple chains of redirects.
Forum discussion at WebmasterWorld.
