Following this directive by the CBN,
http://www.cenbank.org/Out/2015/BPSD/BVN%20LINKAGE%20OPTIONS.pdf
all banks are directed to link your BVN once you have it to your other existing accounts by email or sms or web portal or phone call. 

so, If you have your BVN already, here is how to link it to your other accounts without going to the bank.

A. firstly, ask their twitter customer care team if there is an sms code or online portal or email address you can send your bvn details to while waiting for the answer, 
B. google to see if there is an sms code for BVN linking for the bank,  
C. then google to see if there is an online portal for BVN linking for the bank,  
D. if not, and if the twitter team havnt answered, try their facebook customer care team,
E.call their customer care if all fails,  
F.and then if all these still fail, go to the bank.

Here are those i got my hands on already. Note that the list is not exhaustive.

ACCESS BANK
BVN Linking by Text Message
With the Access BVN short code, you can link your BVN to your Access Bank Account. To do this, simply text BVN, your account number and BVN number to 20121. E.g: BVN 0123456189 78956834758 to 2021
check https://www.accessbankplc.com/bvn

OR 

BVN Linking online follow the link below
http://bvnlinking.accessbankplc.com:8080/bvnlinking/bvn.jsp

input your details and submit

DIAMOND BANK

BVN Linking online: follow the link below
http://www.diamondbank.com/mobilesite/index.php/component/content/article/2-uncategorised/606-bvn-enrolment-and-update

input your details and submit

ECOBANK

You have to go to their banking hall

FCMB

BVN Linking online
if you are registered for e-banking, go to your profile under ‘NO BVN LINK HERE’ and link

BVN Linking by email
send an email to customerservice@fcmb.com 
containing
1. Account name
2. Account number
3. BVN number 
4. bank you initially registered and got your BVN number from

[source FCMB bank twitter team]

FIDELITY BANK
BVN Linking by email
send your account details, mobile number, BVN, bank/date of registration and date of birth via mail to true.serve@fidelitybank.ng 

[source fidelity bank twitter team]

FIRST BANK

BVN Linking online: follow the link below

http://bvn.firstbanknigeria.com/form/

input your details and submit

GTBANK

BVN Linking online: follow the link below
https://gtmt.gtbank.com/BVNLinker/start.aspx

input your details and submit

or 

if you are registered for e-banking, go to your profile under self service and link

HERITAGE BANK

You have to go to their banking hall

KEYSTONE BANK

BVN Linking online: follow the link below

http://www.keystonebankng.com/bvnlink.php

input your details and submit

SKYEBANK

BVN Linking online
if you are registered for e-banking, go to your profile and link it from there,

or

BVN Linking by email

Send an email to.  yescenter@skyebankng.com
containing
1. Account name
2. Account number
3. BVN number 
4. bank you initially registered and got your BVN number from

UBA

BVN Linking by Text Message
All a customer has to do is to send his or her valid BVN from the telephone number that was used to open their account to the short code number and it will become automatically linked,
*919*6# 
[source : https://www.ubagroup.com/mc/newsandevents/newstopic?id=20150706110121fc5jc6fnba ]

or 

BVN Linking online: follow the link below

https://uapps.ubagroup.com/linkbvn/

input your details and submit

ZENITH BANK

BVN Linking by twitter
DM your BVN, account number, phone number, DOB, bank where registration was done and date of registration to  @ZenithBank

or

BVN Linking online
if you are registered for e-banking, go to your profile and link it from there,

or

BVN Linking by email

request for bvn update form from their twitter team @ZenithBank , fill and email to  zenithdirect@zenithbank.com.    

[source Zenith bank twitter team]

OTHER BANKS  

thats all i could get my hands on, based on friend’s questions.   however, if your bank isnt present here, once again,here is the procedure i used to find this information  
A. firstly, ask their twitter customer care team if there is an sms code or online portal or email address you can send your bvn details to while waiting for the answer, 
B. google to see if there is an sms code for BVN linking for the bank,  
C. then google to see if there is an online portal for BVN linking for the bank,  
D. if not, and if the twitter team havnt answered, try their facebook customer care team,
E.call their customer care if all fails,  
F.and then if all these still fail, go to the bank.

SOURCE
http://ogaengineer..com.ng/2015/10/bvn-how-to-link-your-bvn-to-your-other.html?m=1

Didn't know the right section to post this but I wanted to bless people with this.

good piece of information, will do a lot of good.

This was very helpful, thank you!

Can the 'linking' be done even after midnight of 31st October?

Tnx That was really helpful

I hope this will get to D front page.

@op,may God bless you immensely for this extremely valuable info. It will really help.

Please disregard this.Untio you verify from your bank, DO NOT DO THIS!

Front page oooO. To make Nairaland family know the need to dubunk such links... CBN WARNED ALREADY.