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When you read anything by Brandon Sanderson not only are you reading a fantastic book, but you're uncovering another small piece of the puzzle that is the Cosmere. You see every one of his stories are all set in the same universe, just on different planets.
- The Stormlight Archive (WoK, WoR) is set on Roshar.
- Elantris and Emperors Soul are set on Sel
- Mistborn trilogy and Alloy of Law are set on Scadrial
- Warbreaker is set on Nalthis
- Sixth of the Dusk is set on First of the Sun *NEW*
- A number of unfinished stories have been set on other planets (Yolen, Threnody, Ashyn, etc.)
Each story mostly stands on their own, you don't need to read the others to enjoy each one. However, there are a lot of cross-overs that have been dubbed worldhoppers.
Finding out why one of these worldhoppers appeared and shaped the storyline on one planet can be quite exciting. I've discovered nearly every crossover after finishing the book, and looking back the characters interference seemed so minimal but also so pivotal. One must wonder their end game is, and it will make re-reading any of the stories even more rewarding.
There are some serious spoilers ahead, you should only read the ones for the books you have read!
The biggest example is Hoid himself, who shows up in every Cosmere story to some degree. This guy has a very impressive resume, and I look forward to reading through his wiki page in great detail.
Szeth's Shardblade apparently featured in Warbreaker - The sword is Nightblood from Warbreaker, which belonged to one of the main characters of that story; Vasher, who crops up in WoR as Zahel.
In WoK, the three men that are in the purelake are also worldhoppers; one isn't known yet, but the others are.
- Thinker is from Mistborn - Demoux, the soldier in the original trilogy who served as a general for Kelsier and Elend
- Grump is from Elantris - Galladon, the friend and advisor of Raoden.
Also, look at the illustrations throughout both books. Several are signed by a man named Nazh; he's also a worldhopper, and provides similar illustrations in a number of other Cosmere stories. (He shows up in WoR as an ardent who was watching bridge 4, and gets shooed away by Rock).
Other than that, there are a lot of smaller things; references to other shards and the like. Ati is mentioned in the epigraphs of WoK, for instance; he's the shardholder Ruin in Mistborn . Likewise Aona and Skai are Devotion and Domination respective on Sel in Elantris.
There's also a lot of chatter about Shadesmar in The Stormlight Archive series being used to travel between worlds, so Shallan could become quite pivotal and powerful later on.
And then there's Adonalsium, which seems to be another thing that ties all of the worlds together with their different magic systems:
Adonalsium's (Ahy-doe-Nahl-see-um) exact nature has not been revealed, however, it is essentially the setting's power of creation or god, that permeated everything. Due to un-revealed event Adonalsium has been shattered into pieces, known as Shards of Adonalsium, or Shards for short, are pieces of the power of creation itself.
Shards of Adonalsium
It is heavily implied that there are sixteen Shards, scattered among ten worlds, Shardworlds. Shards are related to many, if not all, magic systems on those worlds.
Shards are named after a specific action or ideal, called an intent. A mind must control a Shard. When a person holds a Shard, they are imbued with its power, but they also become the Shard. One of the 'basics' of the magic in all of the worlds is that the energy of Shards can fuel all kinds of interactions, not just interactions based on their personality/role. The 'role' of the Shard has to do with the way the magic is obtained, not what it can do.
The Shards Cultivation, Honor (Almighty/Tanavast) and Odium are located on Roshar.
All things exist on three realms: the spiritual, the cognitive, and the physical.
- The physical realm is the most readily understood as it is merely the manifestation of the world as experienced by the characters, with properties similar to our own.
- The Spiritual realm is presumably the site of the afterlife for much of the Shardworlds.
- The Cognitive realm, also known as Shadesmar. Binds the other two realms of existence and can be used as means of world-hop and travel.
This must be some kind of end-game for the Cosmere, but I suspect it will be quite a while until we find out.
I am only starting to connect the dots myself, as I've intentionally been holding off researching this until I've read more and more of Sanderson's books. I've just got a few more to go, then can really bury my face in it. I've found this page which looks like a good start!
I don't expect many people will read this, but if you've read one Brandon Sanderson book and liked it then this might be that little bit of motivation needed for you to pick another of his books before something different - then later we can discuss it all
Note: I have paraphrased a lot of this post from here, but also adding in a fair amount of other information from all over the place.