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It always amazes me when clients ask for stuff when they don't even know why they would need it. I'm not sure it's even possible to link them, and even if it was....I don't see what value it could possibly provide without all the systems that the tags are intended allowing for integration between them. The value of linking Webmaster Tools and Analytics is obvious. There's stuff happening off-site that you might want to know about (inbound links, impressions on search, etc) and have integrated into your analytics report...fair enough. The same is not true of Google Tag Manager, which simply allows you to manage the various tags easily. These tags are normally related to allowing other systems to do stuff (such as collect data). It is these systems that need to be integrated, if possible (e.g. Analytics and Adwords).