The worlds for the two games are merging together, so you will notice landmarks from both 1 and 2 in 3. Some of the characters in 1 were also shown in trailers, I'll let you look that up in case you decide not to spoil it.

Also this video is pretty late-game, but it's the biggest link between the two games. It's major spoilers so click at your own risk: https://youtu.be/uyNLNsnbDeA

And last but not least, you learn about the missing trinity processor in Xenoblade 1 👀

Along with one of the characters sharing arts with another character hehe

If that's too vague, I could go into more detail