Does iOS SDK provide a way to let iOS app talk to app running in OSX/Windows via usb cable connection? Or, socket is the only option?
If you want to interact with an OS X program from iOS via USB, the PeerTalk lib seems to provide a convenient way to do so (without having to join the MFi program).
According to the github page, PeerTalk
Provides you with USB device attach/detach events and attached device's info
Can connect to TCP services on supported attached devices (e.g. an iPhone), bridging the communication over USB transport
Offers a higher-level API (PTChannel and PTProtocol) for convenient implementations.
[is] Tested and designed for libdispatch (aka Grand Central Dispatch).
It also
has successfully been released on both the iOS and OS X app store.
A great example is Duet Display which is a fantastic piece of software allowing you to use your iDevice as an extra display for your Mac using the Lightning or 30-pin cable. [...]
Communication via USB cable is possible but everything is under strict MFi NDA.
One link that might interest you:
Microchip: 3-step Approach to Develop iPod®, iPhone® and iPad® Accessories
Some more information on Apple MFi program
There are no fees to enter the program but you will have to fill out some 'paperwork'.