The Legend Of Zelda: Oracle Of Ages links up with Oracle Of Seasons, also available for Game Boy Color. When you complete one game, enter the Maku Tree and speak to Farore, the Oracle Of Secrets. She will give you a special password which you write down and type in when you start a new game in Oracle of Seasons. 

For typing in the password, you start Seasons with an extra container, and as your name is embedded in the code, you don't have to enter that separately. Throughout Holodrum, you'll meet several characters who'll tell you secret codes that you're to tell characters in Labrynna, who will, in turn, give you secret items. You then get another code to take that item back to Holodrum. The system is slightly convoluted, but if you want the most from both games, its the only way available.

The biggest draw of linking games is that at the end of the second game you play, the full storyline, which is otherwise left unresolved, gets tied up through an epic boss fight that is otherwise unavailable.