The stories aren't connected, no. They all have sort of a similar plotline, but you can play one without having played the others and not miss anything. --- Arms is like being a chainsaw running around. Prot is like being a castle that walks around punching people in the face with it's drawbridge.
Every EO game takes place in the same world. But there is an argument from the Etrian Odyssey boards that says that each game takes place at different times in the planets history. It makes for an interesting discussion at the very least. --- Height has nothing to do with skin colour, but I know this girl that tans alot that is short...yeah get your brain looked it, someone needs to fix it- DemonDog