They are all in different 'worlds' but are linked through a similar 'lore.' Each game should be considered a stand alone game except in the case of direct sequels like X-2 etc or in the case of that one melee brawler game. I guess you could say each game's world is like a different dimension or almost a parallel timeline or something. Each game borrows similar themes, monsters, and names from the previous though. Sort of like easter eggs in a way. Like there's always a character named Cid, Chocobos, Cactuars etc, or the Protag always has some dark mysterious past blah blah blah...