Here are my newly-made Borromean rings: two identical sets of them. They are an example of three linked rings, with any two of them not linked. The top set is positioned the way the Borromean rings are usually presented. You can see that any two rings are not linked by mentally ignoring the third one. For example, the red ring is on top of the green one, the green one is on top of the blue one, and the blue one is on top of the red one. They have a non-transitive ordering.
The bottom set of rings is arranged for a lazier thinker. Obviously, the blue and green rings are not linked.