Update: chmsee is no longer maintained. You might want to try xchm instead.
There is no viewer for CHM files installed by default on Ubuntu. CHMSee is a good CHM viewer written in GTK that can be used for this purpose.
Install it from the Ubuntu repositories:
$ sudo apt-get install chmsee
CHMSee is no longer included in the Ubuntu repositories. However, it is available from GetDeb. Install GetDeb if you have not done already and update your APT cache. After that you can install CHMSee just as shown above.
Tried with: CHMSee 1.3.0, Ubuntu 12.04.1 LTS and Ubuntu 14.04