Think of them as MCU movies. They all work independently, but they reference each other and share a universe. Each game is fun on its own, but I think they get better if you play them all in order.

There are a few exceptions:

• The Xenoblade 3 DLC is a 20-30h game on its own that only works with the context of all three games. It's your Avengers movie to keep the metaphor.
• Xenoblade X has no connections to any other game as of yet. This might change with the new story content.
• Xenogears and Xenosaga are not connected to any Xenoblade games. You might miss about 10 minutes of references across hundreds of hours across the series.