The Soleil series
The Soleil series by Skyfish is one of the weirder VN series out there... all the games are connected, but the connection is so twisty and strange that if you make the mistake of starting from a later game, it becomes incomprehensible. Part of this is that all the protagonists in the series are fundamentally ignorant of the nature of the worlds they are living in, and another part of it is that the nature of incarnation and reincarnation in the series deliberately unpredictable.
Basically, the worlds in the Soleil series are 'branches' from the world where the Norse apocalypse, Ragnarok, occurred... These can be considered parallel branches, except that it is possible - though difficult - to move between them. They range from worlds like that in Primary Magical Trouble (another VN in the same universe) where magic is a part of daily life, to the worlds in the first and second Soleil games, where the world is the same as our own, save for the presence of the Valkyries and Berserks (fallen Einherjar). There is even a world where the Lovecraftian gods play games as their whims take them (seen in Kouyoku no Soleil).
The primary characters of the 'main' storyline are the descendants - both by blood and by soul - of Siegfried, the legendary hero of Norse legend who was Brunhilde's husband and slew the dragon Fafnir. Unfortunately, this generally dooms those descendants to horribly tragic fates. The two Shirogane no Soleil games are direct relations, with Shin Shirogane being essentially the culmination of many worlds where Ryuuhei from the first Shirogane's fate played out in varying ways.
Other games in the series explore various other worlds and possibilities, with the characters generally suffering from terrible curses, agonizing lifestyles, and various other types of misfortune. This is not surprising, considering that a lot of the ideas behind the games are based directly off of concepts from Norse mythology and/or the Cthulhu Mythos. For that same reason, there is a lot of 'corruption of characters' in these games, as well as numerous bad endings. After all, Loki was a trickster and a master schemer, and the deities of Lovecraft's universe aren't exactly... friendly.
Many of the characters in these games - especially Hagalle from the Shirogane series - are 'multi-layered', in the sense that they are connected in an integral way (though they are rarely conscious of it) to their alternate selves. As a result, if you start halfway through the series, the games are insanely confusing. In addition, there are some characters who are reincarnated in multiple universes but are not precisely alternate versions... in particular, the characters of the original Shirogane game are incarnated as twisted fragments melded together in surprising ways in Shin Shirogane. A lot of the issues that confused me when I played Shin Shirogane have become clear as I progressed through the original, lol.
Overall, the biggest problem with the series is that none of them are really complete without knowledge of the others, except possibly the side-game Primary Magical Trouble. This leads to all of them being confusing if you don't have the knowledge the writers built into each story...