While my knowledge of XI is cursory at best, and I've yet to do The Maiden's Rhapsody (partially owing to server maintenance, godsdammit)...
... there is no clear, concrete connection between any Final Fantasy worlds, except VII and X (more on that in a minute). There is the Void, an interdimensional rift that many characters use in crossover events or for cameos, such as Gilgamesh - the one we meet here is the same one from V who has appeared in numerous other titles. It's implied that Shantotto learned to traverse the Void, if only as a side-effect of some of her spells, and Bunhivelze sent Lightning through the Void and to Eorzea in preparation for becoming the "savior" he intended her to be.
As for "mothercrystals," some of my theories have been hinging on IX's position that all worlds possess a "mothercrystal," or crystal that sustains all life on the world; we go back in time to see the original Crystal be destroyed by Kuja, and... weirdness ensues. Point is, IX suggests there could be a crystal that controls the cycle of souls for every planet in the Final Fantasy multiverse, but whether this is true or not is up for debate (Hydaelyn is sentient, for one, and while the ones from IX likely possess sentience they never express it). I'd elaborate on that and how it relates to Hydaelyn, but that's not really the topic of discussion here.
Back to my original point, no two games share any concrete connection except VII and X - it was stated in an Ultimaina or something (and thus would not be widely-known outside Japan) that the two games are in the same universe, with VII being set in the distant, distant future of X. The connection comes from Shinra, the young scientist of the Gullwings in X-2 who proposes trying to harvest the energy of the Farplane. He and his descendants managed to do so and somehow made their way to VII's planet, which eventually saw the rise of Shinra, Inc., who used that tech to manufacture mako energy in a similar fashion. (Or so the story goes.)


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