What surprises me is, I thought everyone knew that?
Final Fantasy isn't a series in the common sense. But neither is Tales, or Grandia, or Dragon Quest (well, groups of games are connected) or many other "series". Unlike movies, game series will often not be very connected, just with a few expectations of mechanics and themes. Final Fantasy is probably one of the broadest, especially starting with FF7 onward, where they decided to abandon the reliance on high fantasy settings. But honestly, I think that's okay, I never had a problem with that. It's a far cry better from back in the arcade days when the only difference between games in a series were different level sets of the same game (Mario 1 to Lost Levels), or a tweaked gameplay mechanic (Ms Pacman is faster). I'm all for innovation and change. I get tired of series that basically use the same formula over and over again.
HOWEVER, I will echo Maxximum's original post that Type-0 just doesn't grab me. I was highly put off by the first trailer, and the subsiquent material just hasn't done much to improve that. I'm just not in love with the setting and tone. Seems like more generic bleek fantasy to me. Type-0 just reminded me of schoolboy Dragon Age. BORING! I'm far more interested in FFvXIII, and even have more hope for FFXIII-2. I haven't completely written off Type-0, but it just doesn't seem like my kinda thing.