Generally speaking, it indicates an error with your model or parameterization. It doesn’t just happen randomly! 
As such, you shouldn’t just discard a chain when it fails: a failing chain tells you that you should consider reparameterizing your model or even respecifying your model entirely.
At the expense of some shameless self-promotion, I wrote a small cookbook on Bayesian modelling - I think you’ll find the last two sections on MCMC diagnostics and model diagnostics helpful here.