Connect point procedurally to draw a circle?

Ah, you mentioned OnDrawGizmos in your question so I thought you were looking for a line there. To draw lines in-game you can use the Line Renderer. It makes polygons which attempt to rotate themselves to face the camera. Might be sufficient for your needs:
docs.unity3d.com/Manual/class-LineRenderer.html

There is also access to open GL for drawing lines. You can see an example code for this here:
docs.unity3d.com/ScriptReference/GL.Begin.html

Otherwise, yes, there are plugins out there that can draw lines such as Vectrocity:
www.assetstore.unity3d.com/en/#!/content/82