Linking events together makes them appear on each other's Registration page.
The point of linking events is to present to your guests other events they may want to register for, while they register for an event. The linked events display as teasers with a registration link on the registration page of each linked event.
A good use would be recurrent events; if you have a regular weekly event, your guests may want to be able to sign up for one or more of the future events from the original event's Registration Page.
But linking does not only have to apply to recurrent events. You can link any events in your Dashboard and get the same result. You may wish to link certain types of events in your list - events you think might be linked by interest, for example.
If you are implementing Event Filters, you may wish to sort your Dashboard by a certain Filter and then link all events assigned that Filter. This will present registration links to all events with that Filter on all the registration pages for those events.