This seems to be a popular style in javascript (particularly when using jQuery), but it's not actually valid ruby (edit: ruby 1.8.7, that is - see reply). The first line forms a valid statement, so the dots would need to be at the end of each line to indicate a line continuation. So it would need to be:

  names.select { |name| name.start_with?("S") }.
        map    { |name| name.upcase }.
        sort.
        join(', ')

Which is slightly more annoying in that you need to modify two lines to add a new chained line (the line you are adding and the dot added to the previous line).

This also creates a mild headache when refactoring, as any change to the length of the "names" variable would force you to re-align the entire chain. You could do something like:

  names.
    select { |name| name.start_with?("S") }.
    map    { |name| name.upcase }.
    sort.
    join(', ')