Pretty much what Bolivar and Del have said. The first three games are directly connected and deal with the story or Loto/Roto and his descendants. IV through VI are also loosely connected though it was not necessarily intentional, they all share the same mythology of the Sky Dragon and Sky Castle along with all three games sharing the same Hero armor set. Amusingly enough, if you were to view them chronologically they match up how the Loto Arc is done as well with the sixth entry being a prequel to the fourth and fifth games.

VII- X are completely unconnected. Though IX does have some cool challenge dungeons that allow you to fight all of the series previous bosses and get armor and gear that allow you to dress your character up like characters from previous games.