If I have two accounts on Stack Overflow, both with scores, comments, and data, what happens when I link the two?
Is the data merged? Is the data from the user from whom the account been linked lost? What are the other implications?
To the best of my knowledge you can't merge two of your own accounts on the same site. However, if they are merged by a moderator then all combined questions, answers, comments and votes will be assigned to the "master" account. Votes cast from one account to the other will be invalidated and reputation adjusted accordingly.
If you're talking about linking two accounts on different Stack Exchange sites, then nothing really happens beyond them appearing on your profile since activity on different sites is tracked separately.