The link feature was not very well implemented at all, to be honest. There's nothing as interesting as the many uses the Gamecube-GBA link cable was put to. All the linking does in the supported games is more or less just allow you to transfer data like points earned in one game to another so that you can unlock extra features in the second game (which in all but one case can also be unlocked without linking).
See question #38 of my Neo Geo Pocket Software FAQ for specific details:
Its basicly a useless accessory. Only thing it really does is unlock some secret characters in MOTM that you can get by playing the colleseum. It gets you some hidden shit in one of the KOF games too. Nothing really makes it a must have item for your NGPC however.