Same universe -- the Cosmere. But we really are talking about "universe" here. Different planets (galaxies?) that know nothing about each other, just happen to share some laws of nature (and some mysterious characters that seem to travel around). I don't even pick up on most of the connections without having them pointed out to me.

Stormlight Archive is 10 books in two 5 book arcs. 4th book is out now, 5th book will be out in 3 years. So probably a decent time to get into Stormlight. (Sanderson makes a schedule for each of his projects and has an incredible talent for hitting his targets.)