I think on page 3 or 4 I explained the Devil Summoner thing. Devil Summoner and Soul Hackers are a what if, if a certain event didn't happen in SMT. Raidou Kuzunoha's a whole new arc. Pretty nice referential nod to the Kuzunoha Detective Agency in IS and EP.
With Persona, the female avatar in Shin Megami Tensei If... makes a cameo as Tamaki (Tammy) in Persona 1, 2:IS, and 2:EP. Plus, students from the school in If... hang out in Sumaru (you can tell by their stripey pants uniforms. Seventh students had black ones and Kasugayama students had light blue.) Innocent Sin and Eternal Punishment take place a fair ways after 1. In 1, the kids are in high school and in 2, they're older with careers (i.e. Mary/Maki being the assistant psychotherapise, Brown/Brad being the talk show host, etc.) From what I understand, that whole arc ended with Eternal Punishment.
I think Persona 3 begins a whole new arc that isn't directly connected, nor does it need to be. The way the kids receive their personas in 3 and 4 is different from the predecessors. No Philemon, no playing "Persona Persona" as kids. And it does reference other MegaTen games for fun, like the Cielo Mist soda, the Innocent Sin MMO, and the dorm advisor guy wearing the same kind of suit as Baofu. The MMO was like finding the children's storybook "Tales of Phantasia" in Tales of Destiny. P4 obviously takes place a few years after P3.
Some MegaTen games are quite self-referential. Every character you face in the DemiKids battle arenas is based on old Persona characters.