Trails in the Sky games directly follow on from each other with the same characters, as do Trails of Cold Steel. Sky and Cold Steel happen in the same world as each other and occasionally characters overlap but they don't share playable characters. Zero and Ai are also the same world as the others, no idea about character crossover.

what is your opinion on the (classic) Phantasy Star series, the Shining Force etc. games and on the Mother series, out of interest?