I know some people who are experimenting with using shorter certificates, i.e. shorter certificate chains, to reduce traffic. If you're a large enough site, then you can save a ton of traffic every day.
There are other ways you can try to optimise the certificate chain, though. For instance, you can pick a CA that uses ECC rather than RSA to make use of the much shorter key sizes. Entrust has one, I believe. Even if the root CA has an RSA key, they may still have ECC intermediates you can use.
But yes, ensure that you're serving the entire chain, but keep the chain as short as possible.