Is it possible to link my Meta user to my Stackoverflow.com user? If so, are there any advantages?
They are already linked - check the Accounts tab of your profile on either site.
Benefits of linking accounts
If questions are migrated to Meta then you will still own them.
If you had more than 200 rep on one site then you'd get a 100 point bonus.
You can get this bonus when you hit 200 points by breaking and then remaking the association.
Meta Stack Overflow is special in that it has a separate rep from it's parent, but the same arguments apply for linking Stack Overflow, Super User, Web Apps, Gaming etc. accounts.