For an example is it correct to say:
You may use X or Y or Z or even something else.
And what is proper punctuation for such example in case it is valid.
The statement as you gave it might occur in speech, but forms joined in this manner are not preferred in writing. Instead, separate the items with a comma, and put or only before the last item:
This is effectively the same as the rule for lists of items joined by and.
(Oxford comma forever!)