What is an intermediate certificate ??
http://help.godaddy.com/article/868
In order to enhance the security of the Root certificate we have created two intermediate certificates from which SSL certificates are signed and issued. An intermediate certificate is a subordinate certificate issued by the trusted root specifically to issue end-entity server certificates. The result is a certificate chain that begins at the trusted root CA, through the intermediate and ending with the SSL certificate issued to you. Such certificates are called chained root certificates.
Creating certificates directly from the CA root certificate increases the risk of root certificate compromise, and if the CA root certificate is compromised, the entire trust infrastructure built by the SSL provider will fail. The usage of intermediate certificates for issuing SSL certificates to end entities, therefore, provides an added level of security. You must install the intermediate certificate in your Web server along with your issued SSL certificate.
Using intermediate certificates does not cause installation, performance, or compatibility issues.
More in detail:
http://wikis.sun.com/display/WebServerdocs/Certificate+Chain
How to create a certificate chain:
http://h71000.www7.hp.com/doc/83final/ba554_90007/ch03s07.html