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Awesome, thank you so much!!!!
Are all of the games directly connected as they go on or are they split into a few groups that continue specific story lines?
There are multiple Arcs in the series, designated by the country they are set in:
1): Trails in the Sky FC, SC and the 3rd together form the Liberl Arc
2): Trails From Zero and Trails into Azure together form the Crossbell Arc,
3): Trails of Cold Steel 1-4 + Trails into Reverie form the Erebonia Arc
4): Trails through Daybreak 1-2 and Trails beyond the Horizion (designated in the list above as Kai no Kiseki) form the Calvard Arc, which is still ongoing.
Between Arcs, the country shifts, the protagonists are different and the story is different as well, but there is a lot of continuity as well; plots points and characters developed in earlier arcs return, and the stories are all part of a larger whole.
One example; I designated Trails into Reverie as part of the Erebonia Arc, and if we go by Falcom's internal designation of the games, this is correct. But storywise, it is as much a continuation (and conclusion) of the Crossbell Arc as it is of the Erebonia Arc, since those two Arcs are particularly heavily intertwined.
But there are many other examples; a certain character introduced in the first Arc returns in every Arc so far, with their story continuing to develop. An organisation introduced in the second Arc and thought to be defeated turns out to have left a legacy that comes to the fore in the fourth Arc, and so on and so forth, down to minor NPC's returning in later Arcs.
So while there are clear (temporary or permanent) stopping points in the series (namely, after each Arc), the series as a whole is meant to be played in the designated order, and skipping games or Arcs is very much not recommended.