The ones that go together to my understanding are, Final Fantasy XII, Final Fantasy XII Revenant Wings, Final Fantasy Tactics Advanced II, Final Fantasy Tactics, Vagrant story, Final Fantasy Tactics Advanced. In that order they make the Ivalice saga.

Also for FF7, It goes like this, Before Crisis, Crisis Core, FF7 Original, FF7 Advent Children, FF7 Dirge Of Cerberus.

Then there is FFX & FFX-2 of course.

The rest of the series has new characters, worlds, stories, and ways then each other. They are not connected.