This is the chess set that is used in the xscreensaver program "endgame" and others on linux systems, itself taken from an older program called "glChess". The xscreensaver programs are all open-source, so the modeling data only needed to be recast from OpenGL calls to an STL format, written to files.
Because it seems that nobody can make a proper knight, I redrew the knight as "classic_knight_3". This is not part of glChess, but makes a better set, in my opinion.
Because I could not find an easy way to change the code to modify the piece data in any substantial way, I have instead redesigned the whole set in OpenSCAD; please see my newer thing:
The source of the models comes from the C code (chessmodels.c and chessmodels.h). This was taken from the xscreensaver distribution and rewritten to generate STL file output. The original code is GPL, so I have put the whole chess set under GPL as well. The code compiles with "gcc chessmodels.c -o chessmodels -lm". Run "chessmodels", and the output will be two sets of STL files, one "modern" and one "classic". Note that this differs somewhat from the source, where what they refer to as "classic" is actually the modern-looking set. The original code was for OpenGL and so did not ensure that the 3D models were manifold. I adapted the code and data to close off the bottom of each piece. However, the "modern_knight.stl" file is still non-manifold, and I will not distribute the STL files from that set until I get it fixed.
Update: May 16, 2014: Replaced "classic_king.stl" with a modified version that is manifold, fixing the hack where the cross is a separate mesh embedded in the body. The C code does not reflect this fix, which was done in wings3D.
Update: May 18, 2014: Added "classic_knight_3", which is slightly more stylized than classic_knight_2, and fits the theme of the set better.
The overhangs of the pieces can cause problems where slicers are not able to generate good support structures. In Simplify3D, make sure that the support pillar resolution is taken down from the default of 4mm to 2mm. The photographs show the pieces with supports generated by Simplify3D, which did a good job of creating structures that could be removed easily and left little residue behind. However,
if you want a version that does not require support structures, see the derivative Thing #335658, where the overhangs have been modified to make them 45 degrees to avoid the need for support structures.
The pieces are sized a bit small for a standard chess set. I recommend resizing them all by 125% before printing.
Printing is best done in groups, because the tops of tall pieces should be printed very slowly to give each layer time to solidify. I have included a piece called "cooling_tower", which is best placed as far away from the tallest piece being printed (see the photograph of pieces arranged on the build platform). The purpose is to force the printer to move away from the tallest piece (e.g., the king) after printing each layer, giving each layer time to cool off.