Here is a page with many free CGI Perl based chat scripts

http://www.free-scripts.net/cgi/chat.shtm

Here are some Java based chat applets :

http://www.geocities.com/bestjavachat/

http://www.javazoom.net/jzservlets/jzchat10/jzchat.html

Most can be hosted on your server. Remember hosting on your server can take quite a bit of bandwidth when you have many users...