From TheChels.info - The Chelsea Football Club Wiki
Chelsea have played 24 competitive matches at Wembley: nine FA Cup finals, five FA Cup semi-finals, three League Cup finals, two Full Members Cup finals and five Charity/Community Shield matches. Chelsea first played at Wembley in the 1944 War Cup South final against Charlton; the Blues lost 3-1. Their first Wembley FA Cup final appearance came in 1967, losing 2-1 to Tottenham. Three years later they returned to Wembley for another FA Cup final, this time against Leeds United and again in 1972 for the League Cup final against Stoke City. That proved to be the Blues' last major Wembley cup final appearance for 22 years, though they did play two Full Members Cup finals there in 1986 and 1990. In the former, David Speedie became the first player to score a Wembley hat-trick since Geoff Hurst in the 1966 World Cup final.
At the fourth attempt, Chelsea finally won an FA Cup final at Wembley by beating Middlesbrough 2-0 in 1997. In 2000, Chelsea won the last FA Cup final held at the old Wembley and seven years later completed a unique achievement by beating Manchester United to win the first FA Cup final held at the new Wembley. Didier Drogba's winning goal made him the first player to score in an FA Cup final at the new Wembley. Chelsea goalkeeper Petr Čech also became the first goalkeeper not to concede a goal in a competitive game at Wembley. As of 2012, Chelsea have played 11 matches at the new Wembley, a record held jointly with Manchester United, and have won more matches at the new stadium than any other club. Drogba is Chelsea's top scorer at Wembley, with eight goals in ten appearances.