Which software to batch join videos AND add a chapter for each?
You can easily combine many files into one with free MPEG Streamclip's Batch mode — cmd+b. But it will not automatically add chapters at the start of every clip included.

Update: Just checked that you can add chapters manually with free tool Subler.

You may also add chapters with usually included with every Mac iMovie app. Here is how to do it with iMovie'09-11 but I believe the latter will re-compress the video degrading quality.