The way I understand it, the "old traditional" chain (maybe only in the US) for windlasses was BBB, which has shorter links. I think it either does - or is supposed to - pile better and kink less. It is made of G3 type material.

Proof coil is a longer link (but still seems to work fine from what I can tell, if the gipsy is sized for it). I don't know if it's always G3 grade, but it seems to always be when talking anchor chain.

G4 (also known as "high test") has a link style that is similar to proof coil (but must not be the same since the gipsies are not generally interchangeable (only certain sizes happen to be). It is a higher grade of chain (metal).

If I've got something wrong here, feel free to correct it.

This chainwheel size chart from Lofrans illustrates: