Fumito Ueda has officially stated that Shadow of the Colossus is a prequel to Ico, so yes, there are connections. At any rate, both games are absolutely brilliant. I've seen them force even the most anti-Sony gamers to pick up a PS2. They're quite different, however. Whereas SotC's play mechanics are a mixture of a boss-rush mode fused with astoundingly in-depth exploration, Ico is reminiscent of some sort of "Prince of Persia + Panzer Dragoon", in terms of play mechanics and general style.

Also, this site will be the greatest resource for Team Ico game info: TIG Magazine - News & Latest Updates

I say "will" because, er, it "was". It used to be just a site on blogspot, and it was filled with, seriously, the most incredible articles about the two games that you'll ever read. The head of the site fiiinally created a non-blogspot web address, so he's in the process of restoring articles and other content to the new site. It's a work-in-progress, but I'd bet that in a month or two everything should be up, in which case it will be KING again. So keep your eye on it, especially for the restoration of the "Antagonism and Continuity" article. That article should ONLY be read after completing both games, however, as it goes wildly in depth into aspects of both of them!

So yeah, bookmark that address and just wait for Alex (the head of the site) to finish the restoration of content! You'll be happy!