I am planning on chaining three 3.7v batteries together to make 11.1v, two of the batteries will be 2000 Mah and one will be 800 Mah.

How would this effect the battery life compared to using three 2000 Mah batteries?

Thanks!
Yep, i meant mAh.

I understand they wouldn't last as long but, would i be limited by the weakest link in the chain? (every battery drops to 800 mAh, or the 800mAh battery will flatten before all the others)

The 800 mAh battery will discharge faster than the others. When it’s drained, the device it’s in will probably no longer run due to the voltage being too low. Also, when it’s voltage falls below the other batteries voltage it will have a reverse voltage present across it. This could damage the battery and cause it to leak and damage the device it’s in and the other batteries. It’s never a good idea to mix different battery capacities in one device or use different battery chemistry’s in one device (NiCad, NiMH, alkaline, etc.).