We have computed current-current correlation functions in chains of anharmonic oscillators described by various models (FPU-beta, FPU-alpha beta, phi(4)), considering both the total current and the currents associated with individual phonon modes, which are important in view of the Green-Kubo relation for heat conductivity. Our simulations show that, contrary to the common hypothesis, there are, under some circumstances, significant correlations between neighboring modes. These cross-mode correlations are the dominant contribution to the conductivity in the low anharmonicity regime. The inverse of the timescale over which they are significant, 1/tau(c), is related to the anharmonicity level in a way similar to the largest Lyapunov exponent, suggesting that the two quantities are related. Cross-mode correlations exist in both anomalous and regular heat-conducting systems although we are unable to observe a transition to the independent-mode regime in the latter case.