They don't much, but 2 is very likable, it's a more socially-oriented laid back game since it takes place in a military school and all the characters do a lot of laid back casual activities and interact with each other and stuff, but it can get very serious very often.
1 and 4 are part of the main series. The Second Europan War ends at the end of 4. 2 and 3 follow a different conflict, the Gallian Civil War and the unrest within Gallia.