Don't know what it's called, but I've called it a torture device. A girl that used to hang out with us back in high school got one; hers was a kind of a thick silver chain - and she loved until it got caught in the branch of a bush near the bus stop. She was running at the time and the force tore open her nostril. Lots of blood, she needed surgery to fix it.
Recommedation, if you DO get one, get a cheap, thin, soft chain - so just in case it gets caight on anything, it'll break (and not rip your face).
Apart from putting holes in your nose, anything else new?