Created by Team Ico under lead developer Fumito Ueda: Ico and its prequel Shadow of the Colossus (formerly Nico) take place in the same world. Little has been said about the land which is littered with ruins from temples, coliseums, and various other structures. Witches, demons, and shadowy beings among other things inhabit the world. Both games have a similar art and lighting style.
Fumito Ueda has confirmed the two games have a connection. Moreover, the shadowy figures which appear in the Shrine of Worship are connected to the shadows which the player must fight in Ico. Both games feature "horned" characters for protagonists (Wander sprouts horns at the end of the game). The Queen's Sword from Ico is also available as a bonus unlockable item and both games use unique fictional languages. The games all feature puzzle solving and interaction with a separate AI character (Yorda and Agro respectively) with whom they cannot speak.
Currently it is unknown how The Last Guardian (code name Trico) will fit into the series if at all.
All three games are connected by code/project name: The first game was Ico, the second Nico (Ni is two in Japanese), and the third Trico (Tri is Latin for three). All three contain "Ico" somewhere in them.