Question: are all the zelda games connected?
Answer: The short answer is yes, all Zelda games have these connections. Twilight Princess is a good one to do next, as it is parallel to TWW, following up on the Child Timeline. After that, if you have a Wii or Wii U, Skyward Sword is a good one as it is the first chronological Zelda that sets up the rest of the series.