IIRC I believe Vagrant Story, Final Fantasy Tactics, and FFXII were are set in the same "world"; like a medieval France kind of deal. I also want to say they were all written by the same guy... aaaaand I'm right: Yasumi Matsuno was the executive producer for all three games.
But yeah, I hate telling people, "oh, you MUST play this, or MUST watch this or read that", etc. But Vagrant Story is one of those great stories that has many, many, "that was cool as fucking shit" moments. So there you go.