Parachutes are objects that appeared in Uncharted: Drake's Fortune and Uncharted 3: Drake's Deception. They were seen in the cut-scene between Chapter 3 - A Surprising Find and Chapter 4 - Plane-wrecked.
Uncharted: Drake's Fortune
Both Nathan Drake and Elena Fisher used a parachute to bail out of their burning plane. While Elena managed to land safely, Nate's parachute had a hole in it, and therefore, he only survived when it got snagged on a statue.
Uncharted 3: Drake's Deception
At the end of Chapter 15 - Sink or Swim, Nate told Elena that if they were to sneak onto the Cargo Plane to rescue a kidnapped Victor Sullivan, it would involve parachuting in, and mentioned that it didn't go well the last time, referring to the aforementioned cut-scene. Parachutes were mentioned again in the ending of the game, after Sully showed Nate and Elena his new plane. She immediately asked if it had parachutes, to which he replied that it had three, one for each of them.