They are based in Trollworld by and large, Ken St Andres world for T&T.
There is no set order you are supposed to play them in, though obviously its best to do the 'easier' ones first ; I tend to start my guys off in Buffalo Castle for nostalgia reasons, then progress to Sword for Hire/Blue Frog Tavern, then maybe Arena of Khazan or one of the situation solos - Deathtrap Equalizer or Beyond the Silvered Pane. Just whatever takes my fancy really . Its all about getting them ready for the marvelous City of Terrors .
Which begs the question, Is Trollworld described in any detail in a specific product? There is a History of Trollworld on NobleNight, I think.
Starting the easy ones first don't seem to work too well for me, having been wasted 4 times in Blue Frog Tavern already! Maybe I should try Buffalo Castle, since Rick have been kind enough to put it online.
Tunnels and Trolls 5.5e has a history of Trollworld.
I quite enjoy gleaning bits and pieces of the history from playing the solos and reading the magazines. If you can get any Sorcerers Apprentices they are great fun. And i unreservedly recommend Hobbit Holes 6-12. Numbers 1-5 are good fun , but 6+ are excellent.
;D Of course they are all connected! Some moreso than others of course. The early solos all had some sort of magical connection, so as to promote sales. You would find a magic ring in one solo, and end up teleporting into another!
Also, pick up "Sword for Hire" and "Blue Frog Tavern" from either FBI or DriveThru RPG - or dig out your old copy - whatever. Yep. Connected. You do have to hunt for it though (mapping helps).
"that company" published "Rogues Gallery" a year or so back. A couple of the oldtimers have linked a bunch of the old OOP solos together and added a bunch of new material to make a great product - arguably my favorite of what "that guy" offers.
Koraq - Please go pick up 7th edition from your game store. Tell the owner about all the neat stuff that's available from both FBI and "that company". Offer to run a couple games in the store to help drum up interest.
The history in 5.5 isn't real detailed. it's just a timeline. The true 'history' of Trollworld is broken up here and there, detailed in that timeline, in solos, in the three novels, in the game, etc. The whole thing (sadly) doesn't exist in one place. I came into T&T just like you: looking for 'the world'. But only after reading through the supplements do you slowly learn the world.
I seem to find the phrase Khazan mentioned a lot. Shall I take it the solos are all set in the same world, and thus best played in a set order?
The city of Khazan is the capital of the empire of Lerotra'hh, the Death Goddess. It is located at the back of the mouth of the dragon-shaped continent of Rhalph, and indeed many of the published adventures are set in or around Khazan.
As zanshin said, there's no set order in which the solos should be played. Some are for higher level characters than others, so try the lower level ones first.
Ken has talked about doing a Trollworld 'worldbook'; I don't know what the current state of play is with that. If it is produced, it will most probably come out through "that company", so keep your eyes open there.
At the risk of boring everyone else, look especially at the Hobgoblin's Tavern. It has a bunch of products for sale, a number of *free* GM adventures, and assorted other bits and pieces. The owner, and author of most of the adventures there, has been described by Ken St. Andre as 'probably the best T&T author writing today' (probably not an exact quote, but essentially that's what he said).