Will any game work on a PAL Game Boy advance?
Nintendo handhelds are region free (except for DSiware) - there is no region locking, nor compatability issues, a GBA from any region will GBA games from any other region.
Nintendo DS games are not playable on the Game Boy Advance. The Game Boy Advance is compatible with Game Boy Advance and original Game Boy cartridges. If you have a Nintendo DS, it will play Nintendo DS games or Game Boy Advance games. It is NOT compatible with the original Game Boy game cartridges.
What game link cable would I have to use to link my Pokemon Red and Blue Version Game Boy Color games if I played one of them on a Game Boy advance and the other on a Game Boy advance sp?
No. The DS is compatible with the Game Boy Advance, and there's a slot on the bottom of the unit that will accept GBA cartridges. However, it's not compatible with games for the original Game Boy or for the Game Boy Color, nor will DS cartridges work in a Game Boy Advance (though the GBA does itself have backward compatibility with the Game Boy and Game Boy Color).