I’m a huge Stephenson fan, and yes, there is some continuity between Cryptonomicon, REAMDE, The Baroque Cycle, and Fall, or Dodge in Hell. The Baroque Cycle is in my all-time top five or ten fave books - rip-roaring, sweeping-epic historical fiction set in one of the most exciting periods of human history, when folks like Huygens, Newton, Christopher Wren, and Leibniz were all active. It might be difficult to find nowadays - make sure you don’t get some abridged version intended for the attention-span-challenged.
REAMDE and Fall are closely linked character-wise, but for me ultimately unfulfilling. Of course, the writing is superb and often hilarious, but REAMDE seems to end in a paean to the right to bear arms, and Fall devolves into utter ridiculousness after a promising start that offers a fascinating vision of the technology of the near future. I recently read The Rise and Fall of DODO, and enjoyed it immensely - that rarest of things, a time-travel story with some plausibility.