Has anyone bought one of these? Any thoughts on what you think of it?

Also, what about the Steam Link device?

I have both!

However, it's easier for me to share my thoughts on the Controller as I've spent more time with that then the Link. Here are my pros/cons of the controller -

Pros:
Fully mappable however you want. Any button on the controller can act as any keyboard/mouse function.
Interesting button options (ex: using the touch pad via clicking it versus using as a touch pad for mouse-like actions).
Easy to sync with PC or Link. (There's also an option to pair it with only one of these devices if both are currently "on" in your network).

Cons:
Larger than Xbox One controller. (I have small hands so this is a bit too large)
I still have trouble figuring out how to save different controller profiles (used if you want a custom button layout for a game).
Feels somewhat cheap and buttons are loud/clicky. - This may be resolved with a second rendition of the Controller.

The link appeals more to me just because of the ability to play Steam games on the TV without having to move my PC.

I borrowed a Steam Controller from a friend and it's....interesting. I'm not a huge fan, but it has potential. I haven't used the Steam Link, but my same friend says it's really good. I purchased both during the last sale in preparation of my new gaming lair, but they're still sitting in the box I received from Valve :P

If you get it setup, I'd like to try it out sometime. I might get the Link around Christmas time.