Usually they don't go beyond references. Like the SMT:if Protaganist appearing in Persona 1 and 2, or the Kuzunoha detective agency in P2, or the Demi-Fiend fight in Digital Devil Saga. 

The only one I can think of that is directly tied together(Other than the obvious ones like DDS 1 and 2) is Persona 2, with P1 major characters and villains making an appearance.

I haven't played a lot of these though, so I can't tell you how bound the Devil Summoner series is.

Civilization...3?

Any old timers remember my 25 Ultima III: Exodus?

This was the reason why I bugged my parents about getting a Wii. I ended up never completing the first stage of it :-3

I like this game too!  How does it comepair to Ori and the Blind Forest? (Without spoilers)  And did you play Braid?  It has some lovely (but must less) art.   Or Two Brothers also has some lovely art.

Civilization II?

That 4000 BC is my tip off.

Yes

Close, but I do not think it only had 9 scenarios as Civ 3 did. 12 or 20 there :).

#23
This game follows the story of three soldiers from their respective points of view.

Hint 2: There's the British and the American approaching from the west and the Russian approaching from the east.

Cod 2?

hint #22
A spin off exclusive to the DS where the main character looks like Trunks from DBZ