Linking contacts within Instant Messaging lets you consolidate your buddies with more than one identity into a single identity. For example, if in addition to your buddy's Instant Messaging presence, she also has Facebook and GTalk accounts, you can consolidate those identities within Instant Messaging.
Linked contacts are identified by a chain link icon at the end a buddy's name. When you hover over the linked contact, you can view the separate statuses of each identity.
Linking contacts is particularly useful when interacting with your buddies on multiple networks: you can consolidate multiple presences of a buddy. For more information on enabling multi-network IM, see: Multi-network IM.
You can also consider consolidating different buddies who you want to link together. For example, colleagues with whom you are working on a presentation together could be linked together to enable consistent communication.