This problem was motivated by the MO problems: "Running most of the time in a connected set", "Is every metric continuum almost path connected?" and "Are $\varepsilon$-connected components dense?".
Let $p$ be a positive real number. A metric space $(X,d)$ is called $\ell_p$-chain connected if for every points $x,y\in X$ and $\varepsilon>0$ there exists a sequence $C_0,\dots,C_n$ of connected subsets of $X$ of diameter $<\varepsilon$ such that $x\in C_0$, $y\in C_n$ and $\sum_{i=1}^n d(C_{i-1},C_i)^p<\varepsilon$. Here $d(A,B)=\inf\{d(a,b):a\in A,\;b\in B\}$.
Problem 1. Is each connected compact subset of a Euclidean space $\mathbb R^n$ $\ell_1$-chain connected? What is the answer for $n=2$?
Remark 1. By the method of the proof of Lemma from the answer to this MO-problem, it can be shown that each connected compact subspace of $\mathbb R^n$ is $\ell_p$-chain connected for any $p>n-1$.
Problem 3. Is each connected compact metric space $\ell_1$-chain connected? $\ell_p$-connected for some $p$?
Remark 2. Each $\ell_1$-chain connected compact metric space is almost path connected in the sense of this MO problem.
Added in Edit. It seems that the the answer of Anton Petrunin to this problem also yields a counterexample to Problem 3.