This is a version of the chess set from glChess and the Linux xscreensaver hack called "endgame", which I first posted as Thing number 322616. That version had severe overhangs that could cause problems with all but the very best slicer software. This version changes all overhangs to less than 45 degrees, making the set more likely to slice and print without difficulty. The sole exception to the overhang rule is the knight, for which a manually-generated support has been designed. If you wish to try auto-generated support for the knight, the version without the support structure is also included. All pieces have been scaled correctly for a standard chess board size (that is, 25% larger than the original set posted).
Update May 20, 2014: The knight support structure was modified to reduce the gap between the support and the piece.

See the instructions for the original glChess set, thing number 322616. Instructions are basically the same. However, all pieces in this set are correctly sized (in mm), and all pieces are manifold. If you use the version of the knight that includes the support structure, then no additional support is required (all overhang angles are 45 degrees or less).
Pieces should be printed in groups, to prevent the extruder from dwelling on any single piece for too long, thus working over soft plastic and producing poor results. Since the extruder will tend to dwell on the tallest piece after all shorter pieces have finished printing, this set includes a piece called "cooling_tower" that is the same height as the king. Place the cooling tower as far away from the tallest piece (e.g., the king) on the platform, to allow a longer time for each layer of the tallest piece to cool, while the extruder is off drawing another layer on the cooling tower.