Gizmos.DrawLine  

var target : Transform;
function OnDrawGizmosSelected () {
    if(target != null) {
        // Draws a blue line from this transform to the target
        Gizmos.color = Color.blue;
        Gizmos.DrawLine (transform.position, target.position);
    }
}

using UnityEngine;
using System.Collections;

public class example : MonoBehaviour {
    public Transform target;
    void OnDrawGizmosSelected() {
        if (target != null) {
            Gizmos.color = Color.blue;
            Gizmos.DrawLine(transform.position, target.position);
        }
    }
}

import UnityEngine
import System.Collections

class example(MonoBehaviour):

    public target as Transform

    def OnDrawGizmosSelected():
        if target != null:
            Gizmos.color = Color.blue
            Gizmos.DrawLine(transform.position, target.position)