This is going to be a lot of words, but bear with me. I'm trying to sell you something great.
I'll frame this by saying that one of the major strengths of RPGs are in the worlds that we visit while we're playing them. In many ways they are a more interactive version of a fantasy or sci-fi novel, movie, or television series. A vast majority of people don't play RPGs only to crunch stats or min-max their characters - they play them to get lost in another world (and, of course, have fun playing a video game at the same time). One series that many JRPG fans know did this extremely well is Suikoden. A big part of Suikoden's appeal as a franchise was in its interconnected world, with each game taking place in a different chunk of that world. Since Suikoden I, the Suikoverse was set up to an extremely vast and diverse place, with each country having its own unique aesthetic and culture. The direction Konami took post Suikoden V, with an alternate continuity set in a different world, was so disappointing to so many because it abandoned a world that is extremely well cultivated and not yet entirely explored. Look at this map:
Aside from the "Arcadia" nation, which I'm pretty sure is fan made, each game in the series is dedicated to exploring and fleshing out a different country. That means that with each game, the world as a whole becomes more realized, and as you're slowly introduced to and become familiar with different cultures and customs of each nation you grow to have a greater appreciation for the world as a whole.
Trails is highly appealing to me for many reasons, but perhaps my favorite thing about the game is in its highly detailed and intricately realized world design spanning multiple games, much like the Suikoden series. There is a storied history behind the Zemuria continent where each of the games take place, and each set of games in the series leads us to a different region of the continent, each with its own culture and atmosphere. Trails in the Sky has us in Liberl, a constitutional monarchy loosely based off of the country of Thailand, and throughout the first two games we are introduced to the different regions of the country and their various subcultures, such as the heavily industrialized region of Zeiss or the mercantile region of Bose. The game frequently makes mention of other nations, as well, with characters from these nations often playing a large role in the story and sporting marked differences from the Liberl natives in their attitudes and appearance. One of the big names dropped often is the Empire of Erebonia, an imperialistic, military minded country to the north of Liberl that seems to be a major world superpower. While Erebonia is referenced several times throughout the trilogy, it is only visited in passing, and even then we only see very tiny glimpses of its border regions close to Liberl.
The other sets of Trails games feature a new cast of characters and are set in other parts of the world, with each set of games telling its own self contained story while also painting a much larger picture of the Zemurian continent as a whole. Trails to Zero and Trails to Azure are the second set of Trails games, taking place in the region of Crossbell, which was only briefly mentioned in Sky but nonetheless plays an important role in the overall world setting, lying between the two superpowers of Calvard and Erebonia. Erebonia is the setting of Trails of Cold Steel and its immediate sequel, Trails of Cold Steel II. The appeal behind this is that we've only heard of these countries in passing despite them playing such a major role in the world's history and politics, and to finally see them realized with their own culture, politics, and characters is immensely satisfying after only being fed breadcrumbs with off-hand info and cameo appearances. To see the world slowly realized through the perspective of different characters from different regions gives it a feeling of authenticity that cannot be achieved through a single set of eyes.
Unlike Suikoden, the Trails series has multiple games set in the same nation, giving it even more time to flesh out that particular region of the Zemurian continent, allowing the player to become intricately familiar with its residents, culture, and history. No character, including each and every NPC, goes unnamed, and you'll often see them return throughout the various installments - you'll watch marriages struggle, you'll see little orphans learn and grow, and you'll meet old friends you made a game prior. This is to say nothing of the major characters (you'll know them if they have a portrait) who evolve gradually over the course of the story. Because the story is given so much time to be told over the course of multiple games, the characters' growth feels authentic and happens at a natural pace. You'll never see a character change their personality with a haircut. (Tales of the Abyss fans will get that reference.) I want to give specific examples, but I can't without spoiling the story, so you'll have to take my word for it - but the characters feel as if they have a lot of depth to them, and this is truly impressive considering that they can be fairly trope-y at times. It takes a special kind of writer to pull off a character that's both a JRPG stereotype and has multiple layers to their character.
Basically, if you like world building - if your favorite thing about RPGs is becoming invested in a fictional land, please give Trails a shot. It's not fair to judge it only by Sky's first chapter, as a large appeal of the series is largely based on how the different games build on one another. It may be a slow burn at first, as Sky FC is relatively low key and serves mostly as the building blocks for the other Trails games, but it has an extremely high payoff. FC is no slouch, either - it's a fine JRPG in its own right.
If you want to get an idea of just how big the scope of the known Zemurian continent is, here's resident Trails fanatic Gu4n's sketch of the nations we either see directly or hear of throughout each set of games. This sketch is more complete than the official map linked above. Note: this man owns all of the Japanese only scenario books, has played the unlocalized entries in the series, runs the Trails wikia, and is a general walking encyclopedia on anything Trails, so major props to him for drawing this on request.
I really love this series and I want to see more people become aware of it. Try it out - you won't regret it!
Interested? Still have a few questions? Let me answer those for you.
Q: Are the games in The Legend of Heroes series before the Trails ones any good, or even easy to get in English?
A: The Legend of Heroes before Trails are not related to Trails in any way, despite Sky FC technically being The Legend of Heroes VI. It shares a name in the same way that most mainline Final Fantasy entries do - a name and similar recurring themes and aesthetics, but that's all. The earlier games are supposedly fairly enjoyable RPGs, although the ones that are available in English are only for PSP and suffer from very shoddy localizations. It's unfortunate, but the series only started being treated with respect in the west with Sky.
Q: Where to start?
A: Trails in the Sky is the entry point. First Chapter and Second Chapter are the beginning of the story, both of which have been released in English. The Third serves more as a bonus chapter or an epilogue to the previous two games. The Third is being officially translated by XSeed in 2017.
Trails to Zero and Trails to Azure are next, and take place after Sky. Neither have been translated, although there is a fan translation of Azure in the works with a projected release date of 2017.
Trails of Cold Steel is its own trilogy. The first and second games have been released in the west. The third was just recently announced for its Japanese release, so no word on its translation status yet. Despite being the third set of games, it takes place concurrently to Zero and Azure, so it's technically as much of a sequel to Sky as those games are.
It's possible to jump in here, as the stories are generally self contained, but it's recommended to play Cold Steel after Sky as there are many recurring references and characters. If you really must play the latest game in the series, going back to Sky after Cold Steel wouldn't ruin your enjoyment of either game, and you may even have a different perspective on Erebonia - Cold Steel's setting - while playing through Sky. But, again, Sky is really meant to be played first.
Timeline (Sora = Sky, Ao = Azure, Sen = Cold Steel):
And here are the links to purchase both Sky games on Steam!
If you read this far, you're clearly interested. So, what are you waiting for? Go play the games!