Well, there's an extra ending that you can only access by starting a new save file in the second game with a password you'll receive after ending the first game (you can do both sides, OoA -> password -> OoS or OoS -> password -> OoA), plus some side quests that can be started in one game and finished in another (with passwords too). In the original GBC release you could also do that with Link Cable, but as far as I know that's not an option in the Virtual Console version...
Avell A70 MOB: Core i7-11800H, GeForce RTX 3060, 32 GB DDR4-3200, Windows 11 (Insider Preview)
ASRock Z97M OC Formula: Pentium G3258, GeForce GT 440, 16 GB DDR3-1600, Windows 10 (22H2)
ASRock Z97M OC Formula: Pentium G3258, GeForce GT 440, 16 GB DDR3-1600, Windows 10 (22H2)