I carry a chain tool with me most of the time. Some of the bike repair hex wrench sets also include a mini chain tool. It has come in handy a few times. The alternative could be a very long walk.

If you have 8 speed or less, and perhaps 9 speed, then you can just push out a pin, and shorten the chain and re-install. Be careful of cross-chaining if you field shorten the chain. Check for a worn chain if you're breaking chains, and perhaps replace anyway.

10s or 11s really should get a special link pin, or quick connect, but do what you need in a pinch.