Well, they are all sort of connected.

On the Stormlight archive books you encounter a few important characters from other stories (Mistborn, Elantris, Warbreaker and White sand) and there's no way of recognizing them unless you are familiar with the rest of the books. I'd incidently gone through all the previous Cosmere books before I started the Stormlight Archive, but I was quite surprised when I found out.