From Sega Retro
The DirectLink, called the Taisen Cable (対戦ケーブル) in Japan (also known as Link Cable or System Link), is device which allows two Sega Saturns to connect to each other. It can be seen as a console equivalent to a local area network (LAN) setup usually found with computers, where systems are all linked together within a small area.
The DirectLink and its derivatives perhaps had more of a use in store displays and gaming events rather than in the home. Despite acting as a physical connection between two Saturn consoles, each console requires its own television and its own copy of a compatible game in order to play. Only a few games were released with DirectLink compatibility, though many try to hide this fact, or have difficulty working with third-party variants of the cable.
Today physical links such as these have largely been replaced with online services, though this can produce latency and affect the quality of your game. Modern consoles can still be connected together through similar methods to the DirectLink.
USA/Europe DirectLink Games
* - Does not work in Europe. However, they have only been tested on Blaze's system link, which is the unofficial brand.
** - According to the manual (pages 7 & 8), there is a 'Network' mode which allows you to use the DirectLinks. However, when you start the game, even with a 'Network' hooked up, it appears to do nothing.
Japanese DirectLink Games