Divide the class in two or three teams, or make students play individually (it may result more difficult).
The teacher says any word to begin the game (for example, newspaper). The first team has to reply with a word that begins with the last letter of the word said (for example, radio).
The other team replies with a word beginning with the last letter of the last word (for example, oven).
You can play this game with any kind of word or direct your students to use only nouns, verbs, adjectives or adverbs; or to use only themed vocabulary (things in the house, things in a school, etc.)