Ark the Lad 1 & 2 are directly connected, and game saves carry over the first 3 games, there's 2 more that i know of for the PS2, Twilight of the Spirits and another one that i missed picking up so i don't remember its name offhand...

OT: i wish they'd do a re-release/remake of FF IX where they fix the Trance and do away with dumb stuff like requiring Magic Crystals to equip skills... also making Beatrix a permanent party member would drastically improve the game...