Why should I link my accounts?
Account linking is important for two reasons: Hall of Monuments rewards and name reservation.
If you own at least one Guild Wars campaign and the Eye of the North expansion, you've got access to the Hall of Monuments. The HoM allows you to accumulate points by various deeds of daring, and those points translate to vanity rewards and titles within Guild Wars 2 if your accounts are linked.
If you had a character name in Guild Wars that you're incredibly eager to transfer over to Guild Wars 2 and you were playing the game at some point between January 1st, 2012, and July 31st, 2012, your linked accounts will allow you to log in to Guild Wars 2 during the headstart period or launch day and snag that name. After that time, reserved names are up for grabs.
How do I link my accounts?
When you're creating a Guild Wars 2 account for the very first time, you'll be asked if you have a Guild Wars account. If your answer to that is yes, you'll be asked to enter your Guild Wars email and password, and you're all set!
There are a couple of ways that the above situation may not accurately model your own. Maybe you bought the first game after you'd already created your Guild Wars 2 account. Maybe your account and your partner's are a big complicated jumble and you weren't really sure what needed to be linked to what. Maybe space monkeys were landing right outside your window so you didn't actually read the bit that asked about whether or not you had a Guild Wars account.
I'll tell you up front: I cannot help you with the space monkeys. Don't even ask.
If you bought Guild Wars after creating your account for Guild Wars 2, there was a caveat that you might have stumbled upon accidentally. If your email and password for both accounts match, they're technically linked. That was never communicated very well; if we didn't know someone who tried it, we wouldn't even know about it.
If your accounts are currently separate, there's not a lot to be done at present. The Guild Wars 2 support team's current response to inquiries is as follows:
At this time, accounts can only be linked when you register your Guild Wars 2 game. If you didn't do that, then you will have to wait until we implement account linking in the account management website. We're shooting to have this ready by launch, but it's not ready yet. Keep an eye on the Guild Wars 2 website for updates.[Update:] As of August 24th, you are now able to link freestanding Guild Wars and Guild Wars 2 accounts via the Link Accounts tab in your Guild Wars 2 account page.
Knowing is pretty much all of this battle
If you've got related questions, remember that FAQs are your friends. ArenaNet has put up a general FAQ as well as a list of support answers.
It takes an Asura's intellect, a Human's charm, a Sylvari's wisdom, a Charr's passion, and a Norn's love of strong mead to dive into beta and make sense of a game this complex. Fortunately, we have all five on the Massively staff. Enjoy our previews, guides, and our weekly GW2 column, Flameseeker Chronicles!