How to merge two files based on the matching of two columns?

This should do it:

join -j 2 -o 1.1,1.2,1.3,2.3 file1 file2

Important: this assumes your files are sorted (as in your example) according to the SNP name. If they are not, sort them first:

join -j 2 -o 1.1,1.2,1.3,2.3 <(sort -k2 file1) <(sort -k2 file2)

Output:

0 AFFX-SNP-000541 NA 1
0 AFFX-SNP-002255 NA 1
1 rs12103 0.6401 0.5596
1 rs12103_1247494 0.696 0.5581
1 rs12142199 0.7672 0.4931

Explanation (from info join):

`join' writes to standard output a line for each pair of input lines that have identical join fields.

`-1 FIELD'
     Join on field FIELD (a positive integer) of file 1.

`-2 FIELD'
     Join on field FIELD (a positive integer) of file 2.

`-j FIELD'
     Equivalent to `-1 FIELD -2 FIELD'.

`-o FIELD-LIST'

 Otherwise, construct each output line according to the format in
 FIELD-LIST.  Each element in FIELD-LIST is either the single
 character `0' or has the form M.N where the file number, M, is `1'
 or `2' and N is a positive field number.

So, the command above joins the files on the second field and prints the 1st,2nd and 3rd field of file one, followed by the 3rd field of file2.

You could use awk:

$ awk 'NR==FNR {h[$2] = $3; next} {print $1,$2,$3,h[$2]}' file2 file1 > file3

output:

$ cat file3
0 AFFX-SNP-000541 NA 1
0 AFFX-SNP-002255 NA 1
1 rs12103 0.6401 0.5596
1 rs12103_1247494 0.696 0.5581
1 rs12142199 0.7672 0.4931

Explanation:

Walk through file2 (NR==FNR is only true for the first file argument). Save column 3 in hash-array using column 2 as key: h[$2] = $3. Then walk through file1 and output all three columns $1,$2,$3, appending the corresponding saved column from hash-array h[$2].

If you don't need any ordering, than a simple solution would be

paste file{1,2} | awk '{print $1,$2,$3,$6}' > file3

This presumes that all rows have three entries, and column 1 and 2 of both files are the same (as in your example data)