The GBA connectivity works for 2 Zelda games:
1. In The Wind Waker, you can acquire a device (looks like a GBA) and if you connect the GBA, you are able to call and use a little annoying character named Tingle (seen in Majora's Mask, Oracle of Ages, Oracle of Seasons). One of his several abilities, is that he can drop bombs in hard to reach places for you.
2. Soon to be released: Gamecube 4 Swords game.
In 4 Swords, you've got a multi-player setup. When one player walks off to a different room as the other players, his screen switches to the GBA. This way, no one can see what's going on in that room.
sean,
I have heard of them, but I have never actually seen/played them.
If I remember my console history correctly, the CD-I games were a joint venture. Nintendo wanted to start with CD games, but didn't have the knowhow to develop. The originally contacted Sony, but then turned their back on them (then Sony went it alone, and we all know the result). Nintendo then contacted Phillips, and the CD-I games were born. It was short lived though.