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.
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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:
You may use X, Y, Z, or even something else.
This is effectively the same as the rule for lists of items joined by and.
(Oxford comma forever!)