The CodePen login system allows you to log in via your GitHub account, if you wish. This style of login allows for one-click login, provided you are already logged in to your GitHub account, but is not required.
CodePen has its own login system (traditional email/password system) that you may also use, although the systems are mutually exclusive after sign up. In other words, if you sign up to CodePen using the GitHub login, you’ll have to use that to log in to your CodePen account forever. Likewise if you use the CodePen system, you’ll use that to log in forever. To switch, you’ll have to make a new account.
Should you use the GitHub login, you are able to automatically save your Pens as a Gist into your personal Gist area of GitHub. Users of the CodePen login system can still save as Gists, they are just public anonymous Gists, not Gists owned by you specifically.
Either way, it’s free. Both GitHub and CodePen have free accounts.