Yes they all connect, although Luke etc wont be mentioned in novels set hundreds of years before the prequels etc!
Personally I'd start with Star Wars, then splinter of the minds eye
(Which was written before esb so is a bit odd) esb, shadows of the empire, rotj, truce at bakura, thrawn trilogy, then continue to the fare of the Jedi series. Then go back to old republic, leaving prequels and clone wars last.