Yuto, all of the games take place in the same world. In Munch's Oddysee, we explore new areas of Oddworld that we have never seen before, and thus we are meeting new creatures.
The newest game will be different from the first two in that it is a 3d and not a 2d platformer; the people at OWI have been labouring for years, literally, to transform Oddworld into a realistic 3-dimensional world without compromising the game quality or ruining the feel and flavour of Oddworld. The games will be different from now on, but we all hope they will remain as good. And from what we've seen so far, it all looks pretty damn good.
