This term is used in the US to refer to the favorite in a given sporting event. In the United States, it is heard most often during the NCAA Basketball Tournament, when many casual fans fill out projected tournament brackets in competitions across the country and online.
There is one unverified story of why the term "chalk" refers to the favorite. Before the advent of computers and digital displays, and before gambling on major sporting events became popular, many gamblers bet on horse racing. At the track or at the off-track betting parlor, all the horses for a race would be listed in order of expected finish, with the odds of that finish, on a blackboard. As the odds changed and the favorite horse changed, the bookie would erase the name and put a new one in. Hence, the favorite's name was always in chalk.