I dont understand, so you can connect the games you have on steam and get the exact same game for free on GOG or something if its available ? Or is it only if you own Limbo ?

Do you actually need to have a Steam account in order to participate in this giveaway?

;P

It's only if you own already Limbo on Steam, that you can get a copy added to your gOg library. You're not really linking the accounts, per se, but the Connect feature will take a peek at your Steam library and add the game to your gOg account. Note that these things are usually For a Limited Time Only! Haha. They generally don't keep the games available on Connect forever, so far as I know. I think it's generally been a week or two.

Basically, it's a nice thing that gOg and the game publishers do, to give you another source for the game you already purchased. It doesn't happen with every game available on both gOg and Steam; only certain games where the publisher has agreed to allow it to happen.