[Hackimoto]

Hey, I just read something interesting.
Apparently there's cutscene in X-2 with Shinra(I'm not sure where in the game). You ask him what he's doing and he says"

"Farplane data. The more I study it, the more fascinating it gets. There's limitless energy swirling around in there.... The life force that flows through our planet... I think. With a little work, we could probably extract the energy in a usable form."
—Shinra

And Shinra, as we all know, is the name of the corporation in FFVII which uses the energy from the planet's life force as a commercial energy source. Connection? maybe. Maybe there's a timeline but it's not linear to the same order that the games are made.

Also, in FFIII there's a wizard named Hein.

"...the creator of mankind, and the first sorceress ever to exist. Upon creating the first humans, Hyne went into a deep sleep. When he awoke, he decided his creations had become too advanced, so he decided to kill all of the human children. The humans, however, resisted, and a huge battle between Hyne and the humans began. After many years of fighting, Hyne surrendered and gave half of his body to the humans, and that is where the tradition of Sorceresses passing down their powers started..."
—In-game note about Hyne

In FFVIII, Rinoa is referred to as 'Hein's decendant', assumably because she has had the sorceress's powers handed down to her and is now one of the harborers of his powers which he handed down to humans.

Floating Continent in Final Fantasy III is situated roughly at the same spot where the Deep Sea Research Center in Final Fantasy VIII is found. Beneath the Research Center are ruins that indicate that there had been an ancient civilization founded here. These ruins could have been the Owen Tower in Final Fantasy III.

Curiously, in Ultimecia's Castle there is a clock tower. The hands on the clock pointed at III and VIII. This may be a subtle hint about the games' connection. But then again, nothing can be proven.

I actually cut and pasted some of that, but I think there might be more of those kind of things if you were to do a little detective work