Following the trails games is rather easy. There are 7 Trails games (8 if you inlcude Sen no Kiseki 3 which will be realeased this year) and they're meant to be played in the order they were released (Sora no Kiseki 1-3, Zero no Kiseki, Ao no Kiseki, Sen no Kiseki 1-3).
If there's an Evolution attached to the name it's simply a remake version for PSV.
If a HD is added to the name it's simply a PS3 remastered version.

Don't forget that Trails in the Sky 1-3 collectively are Legend of Heroes VI! Of course I don't think they're related to previous LoH games so you're safe in terms of story.

No they're not connected to the previous LoH games, they don't even play in the same world as far as I remember (it's been a few years since I played the other ones) which is why I and many others usually consider the Kiseki games as a separate series (the trails series).

Oh of course, I just thought it amusing that it's even more complicated! Am I correct in thinking Zero and Ao haven't been localised?

Yeah it was the Legend of Heroes franchise that it sits in that was causing me confusion. That goes way back to the 80's doesn't it?

Good to know that there's no strong connection - numbered games and larger franchises suggest you might be missing out as a newcomer.

Unfortunately they're not (which sucks, you'll notice some minor lack of backgroundinformation in the first Cold Steel game not understand some events in the second Cold Steel game and would probably be completely lost in the third one), Falcom would like to see them in the west though.