Call of Duty 4: Connect vertexes
If you have 2 vertexes you want to connect and the vertexes are on the same brush, first select destination vertex, and then (using Ctrl) select the to-be-moved vertex. Once both are selected, press 'w'.
If the vertexes are both on a different brush, first select the destination brush, then the other brush. Now simply select both vertexes (either in one select drag, or using Ctrl), and press 'w' to connect the vertexes.