Quite some time ago, some particularly alert readers noticed that one particular character, named Hoid, appeared in both Warbreaker and one of the Mistborn books (at least, I think that's the one that was first noticed). Brandon then confirmed when asked that this was, in fact, actually the same character, not just reuse of the name. Hoid has since been identified in various disguises and roles in all three Mistborn books and Elantris as well as Way of Kings. He generally appears as a relatively minor character providing some manner of guidance, advice, or other assistance to the protagonists. Brandon revealed in a Q&A that he calls the universe these books are set in the 'Cosmere'.
If you paid close attention to the chapter epigraphs in Hero of Ages (the ones written by Sazed post-ascension), you might have noticed a single reference to some mysterious thing called Adonalsium, and possibly "shards" of this thing. Readers have pieced together from this, a few other references, and some Q&A sessions with Brandon, that Adonalsium is essentially the setting's equivalent of God. A long time ago, Adonalsium was shattered and broken apart, and that event gave rise to the Shards of Adonalsium. Ruin is one of the Shards of Adonalsium. Preservation is another. Another one, which Brandon revealed in a Q&A is named Endowment, is responsible for the Returned and the Awakening magic system in Warbreaker. One or two other Shards are the source of the Dor's power and Seons in Elantris. It is generally theorized, though not yet explicitly confirmed, that there are precisely 16 Shards of Adonalsium, and there is probably some organizational scheme to them similar to the organization of metals in Allomancy.
The chapter epigraphs in one of the sections of Way of Kings compose a letter from someone about Odium and requesting aid against him. Somewhere in that letter, it mentions that Odium visited Sel with disastrous results. Sel is the name of the world that Elantris is in. Also, it mentions the names of several people who control Shards. For example, Ati is the man who held Ruin's power (this is the base for the metal name Atium, btw), and Leras had Preservation (the metal bead that made Elend a mistborn was Lerasium). Odium is the name of a Shard, and Rayse is the name of the man who holds that Shard's power. Rayse was apparently a very nasty person even before he gained a Shard's power, and the nature of his particular Shard (look it up in a dictionary) has amplified that. Furthermore, the letter reveals that he killed two Shard-holders on Sel and 'splintered' their power so that no one would be able to take over like Sazed took Ruin and Preservation. The fact that Odium was on Sel at all proves that he is capable of planet-hopping like Hoid, and some people have extrapolated that Odium might be out to kill all the Shard holders, and Sazed with his two Shards would be an especially important target.
