If you have a so-called "stiff link" you should see it as it comes off of the derailleur when you slowly pedal backwards. If you find one use this procedure to remedy it: http://sheldonbrown.com/derailer-adj...html#stifflink

You should also frequently measure your chain with a good steel rule to monitor its state of wear. It is not possible to predict wear by mileage alone as riding conditions and maintenance practices (or lack thereof) have strong influences on chain life.

When you do buy a replacement chain I recommend getting one which joins with a master link as opposed to the Shimano "special joining pin" which requires (buying and having one on hand) a new one each time you open the chain. You will also need a chain tool to shorten the new chain to match the number of links of the old one.