Link two datasets into lines between nearest points

link_two_datasets.sql

SELECT 
  ST_MakeLine( --This function can take two or more points and make a line
    the_geom_webmercator, --We select the_geom_webmercator, since CartoDB will need it to draw your maps
    ( --This is a nested query that will run for every row in our outer query
      SELECT the_geom_webmercator FROM plout10 -- Here we select the geometry from our second dataset
      ORDER BY the_geom <-> c.the_geom -- We then order it by its distance to the geometry in the first dataset (c.the_geom)
      LIMIT 1  -- And limit it to just 1, i.e. we find just the closest
    )
  ) the_geom_webmercator -- Here we alias the result to a column we call, 'the_geom_webmercator', so that CartoDB will draw it
FROM citibike_stations c -- Here we alias our table to 'c' so we can type it nicely above :)