This is a chess set derived from my glChess chess set, but with many improvements. I have redrawn all the piece profiles by hand and now generate all the pieces in OpenSCAD using rotate_extrude. I have remixed the knight from zheng3's "Garden Guardian", which is an improved version of my original knight (June 23, updated "horse3.stl"; cleaned up a few wayward lines and points, and widened the muzzle so that it looks more like a horse and less like a dragon when viewed from the front).
June 26, 2015 update: Added split versions of all the pieces except the rook to avoid overhangs and make the pieces printable without support (the rook has worse overhangs when printed in halves).
All pieces, both the whole and split models, have been widened a bit at the neck so that they are not quite so delicate and prone to snapping in half. Also, removed all the individual DXF and SVG files and collected them into two ZIP files.
Update: If you insist on printing upright, take a look at the remix at http://thingiverse.com/thing:3381939 which has modified the outlines to smooth out the sharp transition from vertical to horizontal, beefed up the cross on the king's crown to make it less likely to snap off, and added a support under the knight's chin that can be left in and doesn't detract from the piece's aesthetics.
For an OpenSCAD-designed chess board to go along with the chess set, see http://thingiverse.com/thing:957958
These pieces all have overhangs exceeding 45 degrees and should be printed with support. However, pieces with the filename containing the word "split" have been cut in half to be printed separately, without supports, and glued together.
All files are included. If you just want to print, download the scad_*.stl files. If you want to compile from source in OpenSCAD, download all the other files. The profile curves were drawn in xcircuit (profiles.ps) but can be manipulated in inkscape from the SVG files.
To print without supports: The rook has an overhang of about 60 degrees. Be cautious of the layer height used and the capabilities of the printer, and the rook can be printed as one piece. The other pieces have been modeled split down the middle, to be printed in two pieces and glued together. Alignment holes are provided, with a diameter that should snugly fit a peg made out of a short piece of filament. The pawn, queen, and king split pieces are symmetric and should be printed twice. The knight and bishop pieces are antisymmetric and each has a version "2" that is flipped relative to the other. Print one of each for a completed piece.
The featured photo is a set of pieces I did using eSUN wood filament from http://www.intservo.com. The rook was printed vertically; all other pieces used the split models. Finishing work started with a light sanding to roughen the surface and make it more wood-like. Filament "pegs" were inserted in the split pieces, and the pieces were glued with cyanoacrylate (super glue). The seam between the half-pieces was filled with wood filler. When dry, each piece was thoroughly sanded with fine-grit sandpaper to a smoother finish. This was followed by two coats of stain (MinWax Provincial 211) and a semi-gloss coat. Finally, each piece was rubbed down with fine steel wool.