Think of them as MCU movies. They all work independently, but they reference each other and share a universe. Each game is fun on its own, but I think they get better if you play them all in order.
There are a few exceptions:
The Xenoblade 3 DLC is a 20-30h game on its own that only works with the context of all three games. It’s your Avengers movie to keep the metaphor.
Xenoblade X has no connections to any other game as of yet. This might change with the new story content.
Xenogears and Xenosaga are not connected to any Xenoblade games. You might miss about 10 minutes of references across hundreds of hours across the series.
Think of them as MCU movies. They all work independently, but they reference each other and share a universe. Each game is fun on its own, but I think they get better if you play them all in order.
There are a few exceptions: