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)