I'm mainly trying to understand how it relates to Xenogears, because if i'm not mistaken the little girl that appears "inside" the Nephilim is Elle and the boy with her, is Fei.
I've also heard a lot of terms in some of the videos i've seen tossed around, like "The Lost Jerusalum" (sp?), Yeshua, Nephilim and a few others which seem to be biblical references so I was trying to get a better idea of what the concept is with this.
The game was original suppose to be a 6 part series. When Xenogears was released, at the end credits it was mentioned that it was episode 5. When fans speculated if this was a joke or if they planned other titles, Monolith Software annouced that it really was part 5 to an overall universe storyline. The company eventually jumped over to Namco, but since Squaresoft still held the rights to Xenogears characters, they could only make slight references to the original title.
Eventually the whole 6 episode idea was altered to only be 3 episodes, from what I remember Namco felt it was taking too long, and the main writer felt it should end with only 3 games (may be wrong here).
Xenosaga closest tie-in to Xenogears is the Zohar, which is a huge source of power in both games. The Fei/Elly kids are references to Abel and the Maiden from Xenogears. Jin Uzuki is homage to Citan Uzuki, with similiar designs with his sword and mech. Other characters include one girl that resembles Maria closely along with a mech that resembles Calamity, and in the third game Abel pilots a mech very similiar to Weltall.
Honestly it's a lot to write about the games, it seems to have a gnosticism look on religion (chaos real name being Yeshua, and a cutscene showing him actually standing witness to Jesus talking to other people, hinting that perhaps Jesus was more of just a spokesperson, and Yeshua was the real force behind all the miracles).
Your best bet is to play episode 1 to remember the start of the series, watch all the cutscenes of episode 2 on Youtube (the game leaves a lot more questions then answers), then really play episode 3, since it wraps up the series rather well, while leaving enough open for possible sequels if they feel like it (Lost Jerusalem/Earth is never located, and it's fate is still unknown).