I think they're all different stories set in the same world, but I don't really know for sure because I've only played the first two, and those were in Japanese so I didn't know what the fuck was going on. But they were really fun, and if the new ones are anything like the NES games then I highly reccomend checking them out.
Also:
http://www.g4tv.com/xplay/reviews/323/Fire_Emblem.html
http://www.g4tv.com/xplay/reviews/461/Fire_Emblem.html