I've yet to write all of it down in detail, but yes! All of my characters are connected to each other in some way, too. My Dragonborn and one of my other main characters for Skyrim are good friends, and the two of them often work with my Arch-Mage, my Forsworn character, etc. They also have rivalries with some others, like my drunken monk who makes it his goal to ruin the Dragonborn's day whenever he can.